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Closed form term structure derivatives in a Heath-Jarrow-Morton Model with log-normal annually compounded interest rates

Sandmann, Klaus; Sondermann, Dieter; Miltersen, Kristian - Sonderforschungsbereich Information und die … - 1994

Starting with observable annually compounded forward rates we derive a term structure model of interest rates. The model relies upon the assumption that a specific set of annually compounded forward rates is log-normally distributed. We derive solutions for interest rate caps and floors as well...

Persistent link: https://www.econbiz.de/10005841389

Advances in finance and stochastics : essays in honour of Dieter Sondermann

Sandmann, Klaus (ed.); Sondermann, Dieter (honouree); … - 2002

Persistent link: https://www.econbiz.de/10001652397

A term structure model and the pricing of interest rate options

Sandmann, Klaus; Sondermann, Dieter - 1989

Persistent link: https://www.econbiz.de/10000781468

Valuation of natural resource investments with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R. - 1997

Persistent link: https://www.econbiz.de/10000973571

Pricing of interest rate contingent claims : implementing a simulation approach

Miltersen, Kristian R. - In: The journal of computational finance 1 (1998) 3, pp. 7-62

Persistent link: https://www.econbiz.de/10001632703

Valuation of natural resource investments with stochastic convenience yields and interest rates

Miltersen, Kristian R. - In: Project flexibility, agency, and competition : new …, (pp. 183-204). 2000

Persistent link: https://www.econbiz.de/10001680723

The pricing of options with an uncertain interest rate : a discrete-time approach

Sandmann, Klaus - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 201-216

Persistent link: https://www.econbiz.de/10001333344

Einführung in die Stochastik der Finanzmärkte : mit 19 Tabellen

Sandmann, Klaus - 1999

Persistent link: https://www.econbiz.de/10001354860

Einführung in die Stochastik der Finanzmärkte

Sandmann, Klaus - 2001 - 2., verbesserte und erweiterte Auflage

Persistent link: https://www.econbiz.de/10001498159

Einführung in die Stochastik der Finanzmärkte

Sandmann, Klaus - 2010 - 3., vollst. überarb. und erw. Aufl.

Persistent link: https://www.econbiz.de/10003856589

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