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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001453874
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Bond returns and financial index numbers : results from an intertemporal arbitrage free model
Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - 1992
Persistent link: https://www.econbiz.de/10000893022
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Finite difference computation of state-prices in termstructure models : with applications to calibration and MBS analysis
Søndergaard Rasmussen, Nicki - 2002
Persistent link: https://www.econbiz.de/10001721467
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On finite dimensional HJM representations
Mikkelsen, Peter - 2001
Persistent link: https://www.econbiz.de/10001613886
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Revisiting the shape of the yield curve : the effect of interest rate volatility
Christiansen, Charlotte; Lund, Jesper - 2002
Persistent link: https://www.econbiz.de/10001683214
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Pricing by "no arbitrage"
Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - 1995
Persistent link: https://www.econbiz.de/10000908728
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The effect of underreporting on LIBOR rates
Monticini, Andrea; Thornton, Daniel L. - 2013
Persistent link: https://www.econbiz.de/10009721441
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Efficient control variates and strategies for Bermudan swaptions in a libor market model
Jensen, Malene Shin; Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746714
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Long maturity forward rates
Christiansen, Charlotte - 2001
Persistent link: https://www.econbiz.de/10001634338
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Pricing contingent claims : first- and second-order effects from stochastic interest rate development
Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - 1990
Persistent link: https://www.econbiz.de/10000797974