SYMPOSIUM ON TERM STRUCTURE MODELS AND INTEREST RATE VOLATILITY - CONSISTENT VERSUS NON-CONSISTENT TERM STRUCTURE MODELS: SOME EVIDENCE FROM THE SPANISH MARKET - This article prices caps and swaptions in the Spanish market using the Vasicek, Cox, Ingersoll, and Ross and Hull and White (HW) models. Derivatives prices obtained with the Vasicek and CIR models estimated from time series data are very ...

Consistent versus non-consistent term structure models : some evidence from the Spanish market

Navas, Javier F., (1999)

Yield curve fitting with term structure models : empirical evidence from the euro market

Navas, Javier F., (2005)

Calculation of volatility in a jump-diffusion model

Navas, Javier F., (2003)