OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
John Hull and Alan White
| Year of publication: |
2015
|
|---|---|
| Authors: | Hull, John ; White, Alan |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 13.2015, 1, p. 64-83
|
| Subject: | OIS | LIBOR | swaps | swaptions | caps | interest rate trees | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011635240