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person:"Rutkowski, Marek"
~person:"Kennedy, Gary J."
~person:"Sandmann, Klaus"
~subject:"CAPM"
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Rutkowski, Marek
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ECONIS (ZBW)
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1
Swap Futures in HJM One-Factor Model
Kennedy, Gary J.
-
2010
Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity correction due to margining is investigated and found to be (almost) worthless in most cases
Persistent link: https://www.econbiz.de/10013139852
Saved in:
2
Average and Compound Futures in HJM One-Factor Model
Kennedy, Gary J.
-
2010
Explicit formulae are obtained for pricing futures on average and compound interest rates within a HJM one factor model. A fast, accurate, approximation is obtained for futures on daily compounding rates
Persistent link: https://www.econbiz.de/10013139936
Saved in:
3
Log-normal interest rate models : stability and methodology
Sandmann, Klaus
;
Sondermann, Dieter
-
1997
Persistent link: https://www.econbiz.de/10000954624
Saved in:
4
Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.
- In:
The journal of finance : the journal of the American …
52
(
1997
)
1
,
pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
Saved in:
5
Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.
;
Sandmann, Klaus
;
Sondermann, Dieter
-
1995
Persistent link: https://www.econbiz.de/10000908299
Saved in:
6
Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
Sandmann, Klaus
-
1994
Persistent link: https://www.econbiz.de/10013276400
Saved in:
7
Anwendungen eines Binomialmodells der Zinsstruktur auf Markdaten von Zinssatzoptionen : eine empirische Untersuchung zu diskreten 1-Faktor-Zinsstrukturmodellen
Borries, Daniel von
-
1993
Persistent link: https://www.econbiz.de/10000347802
Saved in:
8
On the stability of lognormal interest rate models
Sandmann, Klaus
-
1993
Persistent link: https://www.econbiz.de/10000880242
Saved in:
9
An intertemporal interest rate market model : complete markets
Sandmann, Klaus
-
1988
Persistent link: https://www.econbiz.de/10000125430
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