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~person:"Sondermann, D."
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Heath-Jarrow- Morton model
2
Arbitrage
1
Heath
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Jarrow and Morton models
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Log-normal
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Term structure of interest rates
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annually compounded rates
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debt options
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lognormal volatility structure
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option pricing
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Sondermann, D.
Chiarella, Carl
18
Benth, Fred Espen
7
Krippner, Leo
6
Chen, Jun-Home
5
Lian, Yu-Min
5
Musti, Silvana
4
Bhar, Ram
3
Carmona, René
3
Fanelli, Viviana
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Nadtochiy, Sergey
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To, Thuy Duong
3
To, Thuy-Duong
3
Alm, Jonas
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Böckerman, Petri
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Chandra, Amitabh
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Chege Maina, Samuel
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Detering, Nils
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Fiedler, Beth Ann
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Gaganis, Chrysovalantis
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Goto, Rei
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Gruber, Jonathan
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Haapanen, Mika
2
Henrard, Marc
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Johansson, Edvard
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Kato, Hirotaka
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Krühner, Paul
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Lindskog, Filip
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Maina, Samuel Chege
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Mari, Carlo
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McKnight, Robin
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Miltersen, K.
2
Nikitopoulos, Christina Sklibosios
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Nikitopoulos-Sklibosios, Christina
2
Pasiouras, Fotios
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Piccirilli, Marco
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Renò, Roberto
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Tappe, Stefan
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Vargiolu, Tiziano
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University of Bonn, Germany
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Discussion Paper Serie B
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Lognormality of Rates and Term Structure Models
Goldys, B.
;
Musiela, M.
;
Sondermann, D.
-
University of Bonn, Germany
-
1996
A term structure model with lognormal type volatility structure is proposed. The
Heath
, Jarrow and Morton (HJM …
Persistent link: https://www.econbiz.de/10004968197
Saved in:
2
Closed Form Term Structure Derivatives in a
Heath
-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates
Sondermann, D.
;
Miltersen, K.
-
University of Bonn, Germany
-
1994
accummulation process. Moreover, the log-normal assumption is shown to be consistent with the
Heath
-Jarrow-Morton model for a …
Persistent link: https://www.econbiz.de/10004968277
Saved in:
3
Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
Miltersen, K.
;
Sandmann, K.
;
Sondermann, D.
-
University of Bonn, Germany
-
1994
with the
Heath
-Jarrow-Morton model for a specific choice of volatility. …
Persistent link: https://www.econbiz.de/10004968292
Saved in:
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