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Interest rate modelling
James, Jessica; Webber, Nick - 2000
Persistent link: https://www.econbiz.de/10001354952
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An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options
Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 269-305
Persistent link: https://www.econbiz.de/10001355209
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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
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A term structure model for delivery options implied in interest rate futures
Yu, Shang-wu - In: Advances in Pacific Basin financial markets 4 (1998), pp. 255-276
Persistent link: https://www.econbiz.de/10001250657
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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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An empirical examination of the Longstaff-Schwartz bond option valuation model
Uhrig, Marliese - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 41-54
Persistent link: https://www.econbiz.de/10001207623
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Valuation of two-factor term structure models
Goldman, D.; Heath, D.; Kentwell, Glenn; Platen, Eckhard - In: Advances in futures and options research : a research annual 8 (1995), pp. 263-291
Persistent link: https://www.econbiz.de/10001211280
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On arbitrage-free pricing of interest rate contingent claims
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 259-264
Persistent link: https://www.econbiz.de/10001084192
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The construction of a path-independent interest rate tree : the model of Heath, Jarrow and Morton
Munnik, Jeroen F. de - In: Advances in futures and options research : a research annual 7 (1994), pp. 135-145
Persistent link: https://www.econbiz.de/10001196349
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A Libor market model with default risk
Schönbucher, Philipp J. - 2001
Persistent link: https://www.econbiz.de/10001598736