Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
Klaus Sandmann, Dieter Sondermann and Kristian Miltersen
| Year of publication: |
1994
|
|---|---|
| Authors: | Sandmann, Klaus |
| Other Persons: | Sondermann, Dieter (contributor) ; Miltersen, Kristian R. (contributor) |
| Publisher: |
Bonn : Sonderforschungsbereich 303, Univ. |
| Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | CAPM | Theorie | Theory |
| Extent: | 20 S |
|---|---|
| Series: | Discussion paper / B. - Bonn : Univ. Sonderforschungsbereich 303, ZDB-ID 54757-8. - Vol. 285 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Forschungsbericht ; Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 14 - 15 |
| Classification: | Methoden und Techniken der Volkswirtschaft |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013276400