Implementation of the Longstaff-Schwartz interest rate model
Year of publication: |
1993
|
---|---|
Authors: | Longstaff, Francis A. |
Other Persons: | Schwartz, Eduardo S. (contributor) |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 3.1993, 2, p. 7-14
|
Subject: | Zinsstruktur | Yield curve | Allgemeines Gleichgewicht | General equilibrium | Zeitreihenanalyse | Time series analysis | USA | United States | 1964-1989 |
-
Interest rate volatility and the term structure : a two factor general equilibrium model
Longstaff, Francis A., (1992)
-
Time-varying volatility and the dynamic behavior of the term structure
Engle, Robert F., (1993)
-
Interest rate spreads, credit constraints, and investment fluctuations : an empirical investigation
Gertler, Mark, (1991)
- More ...
-
A simple approach to valuing risky fixed and floating rate debt
Longstaff, Francis A., (2004)
-
The relative valuation of caps and swaptions : theory and empirical evidence
Longstaff, Francis A., (2001)
-
Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market
Longstaff, Francis A., (2001)
- More ...