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Efficient and exact simulation of the Gaussian affine interest rate models

Ostrovski, Vladimir - In: International journal of financial engineering 3 (2016) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011577107

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66

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Interest rate modelling

James, Jessica; Webber, Nick - 2000

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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

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The new interest rate models

Hughston, Lane P. (ed.) - 2000

Persistent link: https://www.econbiz.de/10001522106

Interest rate modelling

Svoboda, Simona - 2004 - 1. publ.

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Interest rate models

Cheyette, Oren - In: Interest rate, term structure, and valuation modeling, (pp. 3-25). 2002

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A review of no arbitrage interest rate models

Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002

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A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch

Fanelli, Viviana - 2016

A great deal of recent literature discusses the major anomalies that have appeared in the interest rate market following the credit crunch in August 2007. There were major consequences with regard to the development of spreads between quantities that had remained the same until then. In...

Persistent link: https://www.econbiz.de/10013003391