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Pricing equity swaps in a stochastic interest rate economy
Kijima, Masaaki; Muromachi, Yukio - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 19-35
Persistent link: https://www.econbiz.de/10001613578
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Recent Advances in Financial Engineering 2011 : Proceedings of the International Workshop on Financial 2011
Takahashi, Akihiko - 2012
Intro -- Contents -- Preface -- InternationalWorkshop on Finance 2011 -- Program -- On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina -- References -- On Pricing Contingent Capital Notes D. B. Madan -- 1. Introduction -- 2....
Persistent link: https://www.econbiz.de/10012687034
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A Gaussian term structure model of credit spreads and valuation of credit spread options
Kijima, Masaaki - In: Kyoto University economic review : memoirs of the … 70 (2001) 1/2, pp. [13]-30
Persistent link: https://www.econbiz.de/10001681082
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Estimation of the local volatility of discount bonds using market quotes for coupon-bond options
Fujiwara, Hajime; Kijima, Masaaki; Nishide, Katsumasa - In: Recent advances in financial engineering : proceedings …, (pp. 49-69). 2009
Persistent link: https://www.econbiz.de/10003871160