Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Gorovoi, Viatcheslav, (2004)

Interest rates: Shadow interest - Using a Vasicek process for the shadow rate, the authors develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market.

Gorovoi, Viatcheslav, (2003)

Black's model of interest rates as options, eigenfunction expansions and Japanese interest rates

Gorovoi, Viatcheslav, (2004)