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Of smiles and smirks : a term structure perspective

Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 211-239

Persistent link: https://www.econbiz.de/10001436315

Of smiles and smirks : a term-structure perspective

Das, Sanjiv R.; Sundaram, Rangarajan K. - 1998

Persistent link: https://www.econbiz.de/10000981147

The central tendency : a second factor in bond yields

Balduzzi, Pierluigi - In: The review of economics and statistics 80 (1998) 1, pp. 62-72

Persistent link: https://www.econbiz.de/10001235783

A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model

Das, Sanjiv R. - In: Journal of economic dynamics & control 23 (1999) 3, pp. 333-369

Persistent link: https://www.econbiz.de/10001254303

Analytical approximations of the term structure for jump-diffusion processes : a numerical analysis

Baz, Jamil - In: The journal of fixed income 6 (1996) 1, pp. 78-86

Persistent link: https://www.econbiz.de/10001205422

An efficient generalized discrete-time approach to Poisson-Gaussian bond option pricing in the Health-Jarrow-Morton model

Das, Sanjiv R. - 1997

Persistent link: https://www.econbiz.de/10001590545

The central tendency : a second factor in bond yields

Balduzzi, Pierluigi; Das, Sanjiv R.; Foresi, Silverio - 1997

Persistent link: https://www.econbiz.de/10000652226

Pricing interest rate derivatives : a general approach

Chacko, George; Das, Sanjiv - In: The review of financial studies 15 (2002) 1, pp. 195-241

Persistent link: https://www.econbiz.de/10001639615

[Rezension von: Rebonato, Riccardo, Modern pricing of interest-rate derivatives, the LIBOR market model and beyond]

Das, Sanjiv R. - In: Journal of economic literature 42 (2004) 2, pp. 528-529

Persistent link: https://www.econbiz.de/10002166536

The Central Tendency : A Second Factor in Bond Yields

Balduzzi, Pierluigi - 2011

We assume that the instantaneous riskless rate reverts toward a central tendency which, in turn, is changing stochastically over time. As a result, current short-term rates are not sufficient to predict future short- term rate movements, as it would be the case if the central tendency were...

Persistent link: https://www.econbiz.de/10013128744