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Term structure movements and pricing interest rate contingent claims

Ho, Thomas S. Y. - In: The journal of finance : the journal of the American … 41 (1986) 5, pp. 1011-1029

Persistent link: https://www.econbiz.de/10001015026

Does the October 1987 crash strengthen the co-movements among national stock markets?

Yi, Sang-bin - In: Review of financial economics : RFE 3 (1993) 1, pp. 89-102

Persistent link: https://www.econbiz.de/10001176189

Valuation of Credit Contingent Claims : An Arbitrage - Free Credit Model

Ho, Thomas S.Y. - 2012

This study extends the generalized Ho–Lee model to the credit derivative swap (CDS) curve movements that ensures the hazard rate movement is arbitrage-free for any given CDS curve. This study shows that the generalized Ho–Lee model is not limited to pricing the interest contingent claims....

Persistent link: https://www.econbiz.de/10013116727