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Term structure models driven by general Lévy processes
Eberlein, Ernst; Raible, Sebastian - In: Mathematical finance : an international journal of … 9 (1999) 1, pp. 31-53
Persistent link: https://www.econbiz.de/10001363481
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Solution of the extended CIR term structure and bond option valuation
Maghsoodi, Yoosef - In: Mathematical finance : an international journal of … 6 (1996) 1, pp. 89-109
Persistent link: https://www.econbiz.de/10001201643
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A yield-factor model of interest rates
Duffie, Darrell - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 379-406
Persistent link: https://www.econbiz.de/10001208931
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General equilibrium with constant relative risk aversion and Vasicek interest rates
Goldstein, Robert - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10001208953
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Analytical solutions for the pricing of American bond and yield options
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 277-294
Persistent link: https://www.econbiz.de/10001184869
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Factor models of domestic and foreign interest rates with stochastic volatilities
Frachot, Antoine - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 167-185
Persistent link: https://www.econbiz.de/10001185052
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Tax basis and nonlinearity in cash stream valuation
Dermody, Jaime C. - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 97-119
Persistent link: https://www.econbiz.de/10001185059
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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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When is the short rate Markovian?
Carverhill, Andrew - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 305-312
Persistent link: https://www.econbiz.de/10001185090
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A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton
Brace, Alan - In: Mathematical finance : an international journal of … 4 (1994) 3, pp. 259-283
Persistent link: https://www.econbiz.de/10001185092