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A test of the Cox, Ingersoll, and Ross model of the term structure
Gibbons, Michael R. - In: The review of financial studies 6 (1993) 3, pp. 619-658
Persistent link: https://www.econbiz.de/10001159893
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On the volatitlity of bond prices
Gibbons, Michael R. - In: Carnegie Rochester conference series on public policy : … (1989), pp. 139-176
Persistent link: https://www.econbiz.de/10001109747
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Profit from mean-reverting yield curve trading strategies
Chua, Choong Tze; Koh, Winston T. H.; Ramaswamy, Krishna - In: The journal of fixed income 15 (2006) 4, pp. 20-33
Persistent link: https://www.econbiz.de/10003339377
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Simple binomial processes as diffusion approximations in financial models
Nelson, Daniel B. - In: The review of financial studies 3 (1990) 3, pp. 393-430
Persistent link: https://www.econbiz.de/10001105896
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The valuation of floating rate instruments : theory and evidence
Ramaswamy, Krishna - In: Journal of financial economics 17 (1986) 2, pp. 251-272
Persistent link: https://www.econbiz.de/10001015035