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Estimating the term structure of volatility and fixed-income derivative pricing
Gonçalves, Franklin de O. - In: The journal of fixed income 6 (1996) 1, pp. 32-39
Persistent link: https://www.econbiz.de/10001205427
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A Three-factor defaultable term structure model
Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79
Persistent link: https://www.econbiz.de/10001530347
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Valuing credit derivatives
Longstaff, Francis A. - In: The journal of fixed income 5 (1995) 1, pp. 6-12
Persistent link: https://www.econbiz.de/10001213254
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Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 27 (2017) 2, pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
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A unified credit and interest rate arbitrage-free contingent claim model
Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 18 (2008/09) 3, pp. 5-17
Persistent link: https://www.econbiz.de/10003808952
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A fixed-rate mortgage valuation model in three state variables
Brunson, Andrew L.; Kau, James B.; Keenan, Donald C. - In: The journal of fixed income 11 (2001) 1, pp. 17-27
Persistent link: https://www.econbiz.de/10001595320
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Impact of different interest rate models on bond value measures
Buetow, Gerald W.; Hanke, Bernd; Fabozzi, Frank J. - In: The journal of fixed income 11 (2001) 3, pp. 41-53
Persistent link: https://www.econbiz.de/10001706063
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A two-factor term structure model under GARCH volatility
Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
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Discrete-time versions of continuous-time interest rate models
Heston, Steven L. - In: The journal of fixed income 5 (1995) 2, pp. 86-88
Persistent link: https://www.econbiz.de/10001213236
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Efficient and flexible bond option valuation in the Heath, Jarrow, and Morton framework
Carverhill, Andrew - In: The journal of fixed income 5 (1995) 2, pp. 70-77
Persistent link: https://www.econbiz.de/10001213239