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Pricing defaultable coupon bonds under a jump-diffuson process
Wong, Mark C. W.; Hodges, Stewart D. - In: The journal of fixed income 12 (2002) 1, pp. 51-64
Persistent link: https://www.econbiz.de/10001725705
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Term-structure slope risk : convexity revisited
Hodges, Stewart D.; Parekh, Naru - In: The journal of fixed income 16 (2006) 3, pp. 54-59
Persistent link: https://www.econbiz.de/10003422034
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When is the short rate Markovian?
Carverhill, Andrew - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 305-312
Persistent link: https://www.econbiz.de/10001185090
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Money market term structure dynamics and volatility expectations
Carverhill, Andrew; Strickland, Chris - 1992
Persistent link: https://www.econbiz.de/10001375509
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Efficient and flexible bond option valuation in the Heath, Jarrow, and Morton framework
Carverhill, Andrew - In: The journal of fixed income 5 (1995) 2, pp. 70-77
Persistent link: https://www.econbiz.de/10001213239