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Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les - In: The journal of fixed income 7 (1997) 3, pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
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A unified credit and interest rate arbitrage-free contingent claim model
Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 18 (2008/09) 3, pp. 5-17
Persistent link: https://www.econbiz.de/10003808952
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A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 3, pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
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Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 4, pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
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Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 27 (2017) 2, pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
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Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
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Modeling swap spreads in normal and stressed environments
Bhansali, Vineer; Schwarzkopf, Yonathan; Wise, Mark B. - In: The journal of fixed income 18 (2008/09) 4, pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
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A simple non-parametric approach to bond futures option pricing
Stutzer, Michael J.; Chowdhury, Muinul - In: The journal of fixed income 8 (1999) 4, pp. 67-76
Persistent link: https://www.econbiz.de/10001432409
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Pricing path-dependent interest rate contingent claims using a lattice
Dharan, Venkat G. - In: The journal of fixed income 6 (1997) 4, pp. 40-49
Persistent link: https://www.econbiz.de/10001218360
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Interbank interest rates and the risk premium
Pagès, Henri - In: The journal of fixed income 9 (2000) 4, pp. 75-95
Persistent link: https://www.econbiz.de/10001495253