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1
Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
4
,
pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
Saved in:
2
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
3
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John
;
White, Alan
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Saved in:
4
Performance evaluation of algorithms for black-derman-toy lattice
Abaffy, Jozsef
(
contributor
);
Black, Fischer
(
contributor
); …
- In:
Current topics in quantitative finance : with 23 tables
,
(pp. 1-12)
.
1999
Persistent link: https://www.econbiz.de/10001442899
Saved in:
5
Building models for credit spreads
Arvanitis, Angelo
;
Gregory, Jonathon
;
Laurent, Jean-Paul
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 27-43
Persistent link: https://www.econbiz.de/10001432491
Saved in:
6
Essays on interest-rate volatility and the pricing of interest-rate derivative assets
Hanweck, Gerald Alfred
-
1994
Persistent link: https://www.econbiz.de/10000916134
Saved in:
7
US Treasury bill forward and futures prices
Fried, Joel
- In:
Journal of money, credit and banking : JMCB
26
(
1994
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10001162951
Saved in:
8
A simple time-varying binomial model for the valuation of interest rate-contingent claims
Ronn, Ehud I.
- In:
Advances in futures and options research : a research annual
5
(
1991
),
pp. 89-111
Persistent link: https://www.econbiz.de/10001123294
Saved in:
9
A one-factor model of interest rates and its application to treasury bond options
Black, Fischer
- In:
Financial analysts' journal : FAJ
46
(
1990
)
1
,
pp. 33-39
Persistent link: https://www.econbiz.de/10001085204
Saved in:
10
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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