Similar Search Results

The pricing of index options when interest rates are stochastic : an empirical test

Rindell, Krister - 1993

Persistent link: https://www.econbiz.de/10000147085

Arbitragefreie Bewertung von Zinsderivaten

Heitmann, Frank - 1997

Persistent link: https://www.econbiz.de/10000959293

Pricing mortgage-backed securities in a multifactor interest rate environment : a multivariate density estimation approach

Boudoukh, Jacob; Whitelaw, Robert F.; Richardson, Matthew; … - In: The review of financial studies 10 (1997) 2, pp. 405-446

Persistent link: https://www.econbiz.de/10001220576

Estimating the term structure of volatility and fixed-income derivative pricing

Gonçalves, Franklin de O. - In: The journal of fixed income 6 (1996) 1, pp. 32-39

Persistent link: https://www.econbiz.de/10001205427

Estimating the term structure of interest rates and pricing of interest rate derivatives

Meier, Iwan - 2000

Persistent link: https://www.econbiz.de/10001547188

The dynamics of the forward interest rate curve : a formulation with state variables

Jong, Frank de; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 131-157

Persistent link: https://www.econbiz.de/10001436356

Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities

Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497

Persistent link: https://www.econbiz.de/10001256376

Pricing of index options when interest rates are stochastic : an empirical test

Rindell, Krister - In: Journal of banking & finance 19 (1995) 5, pp. 785-802

Persistent link: https://www.econbiz.de/10001185511

Default risk in bond and credit derivatives markets

Benkert, Christoph - 2004

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...

Persistent link: https://www.econbiz.de/10002146228

Affine model of inflation-indexed derivatives and inflation risk premium

Ho, Hsiao-wei; Huang, Henry H.; Yildirim, Yildiray - In: European journal of operational research : EJOR 235 (2014) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10010361364