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From default probabilities to credit spreads : credit risk models do explain market price
Denzler, Stefan M.; Dacorogna, Michel M.; Müller, Ulrich A. - In: Finance research letters 3 (2006) 2, pp. 79-95
Persistent link: https://www.econbiz.de/10003333860
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An analytic approximation formula for pricing zero-coupon bonds
Choi, Youngsoo; Wirjanto, Tony S. - In: Finance research letters 4 (2007) 2, pp. 116-126
Persistent link: https://www.econbiz.de/10003477217
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Hedging in a HJM model
Jarrow, Robert A. - In: Finance research letters 7 (2010) 1, pp. 8-13
Persistent link: https://www.econbiz.de/10003972378
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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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Fast approximations of bond option prices under CKLS models
Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. - In: Finance research letters 8 (2011) 4, pp. 206-212
Persistent link: https://www.econbiz.de/10009425850
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A generalised arbitrage-free Nelson-Siegel model : the impact of unspanned stochastic volatility
Chen, Rui; Du, Ke - In: Finance research letters 10 (2013) 1, pp. 41-48
Persistent link: https://www.econbiz.de/10009728597
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The zero-lower bound on interest rates : myth or reality?
Jarrow, Robert A. - In: Finance research letters 10 (2013) 4, pp. 151-156
Persistent link: https://www.econbiz.de/10010252360
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Testing the expectations hypothesis for the Eurozone : a nonlinear cointegration analysis
Araç, Ayşen; Yalta, A. Yasemin - In: Finance research letters 15 (2015), pp. 41-48
Persistent link: https://www.econbiz.de/10011552951
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A simple and general approach to fitting the discount curve under no-arbitrage constraints
Fengler, Matthias; Hin, Lin-Yee - In: Finance research letters 15 (2015), pp. 78-84
Persistent link: https://www.econbiz.de/10011552971
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Longevity bond pricing under the threshold CIR model
Dong, Fangyuan; Wong, Hoi Ying - In: Finance research letters 15 (2015), pp. 195-207
Persistent link: https://www.econbiz.de/10011553193