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An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options
Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 269-305
Persistent link: https://www.econbiz.de/10001355209
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The pricing of default-free interest rate cap, floor, and collar agreements
Briys, Eric - In: The journal of finance : the journal of the American … 46 (1991) 5, pp. 1879-1892
Persistent link: https://www.econbiz.de/10001115509
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How markets process information : news releases and volatility
Ederington, Louis H. - In: The journal of finance : the journal of the American … 48 (1993) 4, pp. 1161-1191
Persistent link: https://www.econbiz.de/10001152163
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The quality delivery option in treasury bond futures contracts
Hemler, Michael Lee - In: The journal of finance : the journal of the American … 45 (1990) 5, pp. 1565-1586
Persistent link: https://www.econbiz.de/10001103793
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An econometric model of the term structure of interest-rate swap yields
Duffie, Darrell - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1321
Persistent link: https://www.econbiz.de/10001227656
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Lattice models for pricing American interest rate claims
Li, Anlong - In: The journal of finance : the journal of the American … 50 (1995) 2, pp. 719-737
Persistent link: https://www.econbiz.de/10001184823
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R. - In: The journal of finance : the journal of the American … 52 (1997) 1, pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
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On arbitrage-free pricing of interest rate contingent claims
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 259-264
Persistent link: https://www.econbiz.de/10001084192
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On the term structure of default premia in the swap and LIBOR markets
Collin-Dufresne, Pierre; Solnik, Bruno - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 1095-1115
Persistent link: https://www.econbiz.de/10001593029
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The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael - In: The journal of finance : the journal of the American … 59 (2004) 1, pp. 227-260
Persistent link: https://www.econbiz.de/10001932051