In this paper we develop a single-factor modeling framework which is consistent with market observable forward prices and volatilities. The model is a special case of the multi-factor model developed in Clewlow and Stickland [1999b] and leads to analytical pricing formula for standard options,...

For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate. These options derive their value from changes in the slope or cuvature of the yield curve and hence are...

For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate. These options derive their value from changes in the slope or curvature of the yield curve and hence are...

In this paper we develop a single-factor modeling framework which is consistent with market observable forward prices and volatilities. The model is a special case of the multi-factor model developed in Clewlow and Strickland [1999b] and leads to analytical pricing formula for standard options,...

A number of different continuous time approaches that have been developed to model the term structure of interest rates are examined. These techniques span the interest rate literature over the last 20 years or so, and are the most commonly used among both academics and practitioners. We view...

A general Bayesian Markov Chain Monte Carlo methodology is utilized for conducting an analysis of the intensity process of stock market data. The sampling scheme employed is a hybrid of the Gibbs and Metropolis Hastings algorithms. Both duration and count data time series approaches are utilized...

This paper looks at the different approaches and different models that have been developed to value interest rate-dependent securities, providing a survey of pricing procedures which are based on mathematical models of the term structure. It can be viewed as a reference for the different...

In this paper, we describe an analysis for data collected on a three-dimensional spatial lattice with treatments applied at the horizontal lattice points. Spatial correlation is accounted for using a conditional autoregressive model. Observations are defined as neighbours only if they are at the...