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Pricing of interest rate contingent claims : implementing a simulation approach

Miltersen, Kristian R. - In: The journal of computational finance 1 (1998) 3, pp. 7-62

Persistent link: https://www.econbiz.de/10001632703

An empirical study of the term structure of interest rates

Miltersen, Kristian R. - 1992

Persistent link: https://www.econbiz.de/10000851680

An arbitrage theory of the term structure of interest rates

Miltersen, Kristian R. - 1992 - 2. ed

Persistent link: https://www.econbiz.de/10000853604

A model of the term structure of interest rates

Miltersen, Kristian R. - 1993

Persistent link: https://www.econbiz.de/10000870232

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

Closed form solutions for term structure derivatives with log-normal interest rates

Miltersen, Kristian R.; Sandmann, Klaus; Sondermann, Dieter - 1995

Persistent link: https://www.econbiz.de/10000908299

New no-arbitrage conditions and the term structure of interest rate futures

Miltersen, Kristian R.; Aase Nielsen, Jørgen; … - In: Annals of finance 2 (2006) 3, pp. 303-325

Persistent link: https://www.econbiz.de/10003338003

Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates

Sandmann, Klaus - 1994

Persistent link: https://www.econbiz.de/10013276400

The swaption cube

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 27 (2014) 8, pp. 2307-2353

Persistent link: https://www.econbiz.de/10010463486

The Swaption Cube

Trolle, Anders B. - 2016

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness...

Persistent link: https://www.econbiz.de/10013008774