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Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao; Ye, Xiaoxia; Yu, Fan - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
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Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
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Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
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Pricing of swaps with default risk
Li, Haitao - In: Review of derivatives research 2 (1998) 2/3, pp. 231-250
Persistent link: https://www.econbiz.de/10001497946
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Corporate use of interest rate swaps : theory and evidence
Li, Haitao; Mao, Connie X. - In: Journal of banking & finance 27 (2003) 8, pp. 1511-1538
Persistent link: https://www.econbiz.de/10001770314