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Exponential-affine diffusion term structure models : dimension, time-homogeneity, and stochastic volatility

Nunes, João Pedro Vidal - 2000

Persistent link: https://www.econbiz.de/10001623482

Multifactor valuation of floating range notes

Nunes, João Pedro Vidal - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 79-97

Persistent link: https://www.econbiz.de/10001917735

The Performance of Deterministic and Stochastic Interest Rate Risk Measures : Another Question of Dimension?

Oliveira, Luís - 2013

The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor Gauss-Markov HJM term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December...

Persistent link: https://www.econbiz.de/10013081545

American options and callable bonds under stochastic interest rates and endogenous bankruptcy

Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332

Persistent link: https://www.econbiz.de/10009349987

Barrier options on spot LIBOR rates under multi-factor Gaussian HJM model

Nunes, Joaõ Pedro Vidal - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 61-81

Persistent link: https://www.econbiz.de/10003379130

Pricing American options under the constant elasticity of variance model and subject to bankruptcy

Nunes, Joaõ Pedro Vidal - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1231-1263

Persistent link: https://www.econbiz.de/10003939136