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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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Averaging and deferred payment yield agreements
Ritchken, Peter H. - In: The journal of futures markets 13 (1993) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10001136843
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The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
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A one-factor lognormal Markovian interest rate model : theory and implementation
Li, Anlong - In: Advances in futures and options research : a research annual 8 (1995), pp. 229-239
Persistent link: https://www.econbiz.de/10001211283
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Interest rate option pricing with volatility humps
Ritchken, Peter H.; Chuang, Iyuan - In: Review of derivatives research 3 (1999) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10001493259
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On rational jump diffusion models : an approach using potentials
Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349
Persistent link: https://www.econbiz.de/10001238756
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On arbitrage-free pricing of interest rate contingent claims
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 259-264
Persistent link: https://www.econbiz.de/10001084192
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Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of finance : the journal of the American … 58 (2003) 5, pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838