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Pricing coupon-bond options and swaptions in affine term structure models
Singleton, Kenneth J. - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10001741956
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Modeling term structures of defaultable bonds
Duffie, Darrell; Singleton, Kenneth J. - In: The review of financial studies 12 (1999) 4, pp. 687-720
Persistent link: https://www.econbiz.de/10001421853
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An econometric model of the term structure of interest rate swap yields
Duffie, Darrell; Singleton, Kenneth J. - 1995
Persistent link: https://www.econbiz.de/10000904139
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Expectation puzzles, time-varying risk premia, and dynamic models of the term structure
Dai, Qiang; Singleton, Kenneth J. - 2001
Persistent link: https://www.econbiz.de/10001566888
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An econometric model of the term structure of interest-rate swap yields
Duffie, Darrell - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1321
Persistent link: https://www.econbiz.de/10001227656
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 1943-1978
Persistent link: https://www.econbiz.de/10001523883
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Term structure dynamics in theory and reality
Dai, Qiang; Singleton, Kenneth J. - In: The review of financial studies 16 (2003) 3, pp. 631-678
Persistent link: https://www.econbiz.de/10001794917
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Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
Persistent link: https://www.econbiz.de/10001832932
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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Expectation puzzles, time-varying risk premia, and affine models of the term structure
Dai, Qiang; Singleton, Kenneth J. - In: Journal of financial economics 63 (2002) 3, pp. 415-441
Persistent link: https://www.econbiz.de/10001661702