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Lhabitant, François-Serge; Castellani, Davide; Reghai, A. - 1998

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Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds

Sommer, Daniel - 1997

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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance

An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130

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Pricing American interest rate options under the jump-extended Vasicek model

Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43

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Risky coupon bonds as a portfolio of zero-coupon bonds

Jarrow, Robert A. - In: Finance research letters 1 (2004) 2, pp. 100-105

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Interest rates and coupon bonds in quantum finance

Baaquie, Belal E. - 2010 - 1. publ.

"The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus - the bedrock of the present...

Persistent link: https://www.econbiz.de/10003848623

A new approach for computing option prices of the Hull-White type with stepwise reversion and volatility finctions

Jin, Hui; Gotoh, Jun-ya; Sumita, Ushio - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 67-85

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Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models

Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: Journal of banking & finance 36 (2012) 1, pp. 151-163

Persistent link: https://www.econbiz.de/10009411156

The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime

Reher, Gerrit; Wilfling, Bernd - In: International review of economics & finance : IREF 29 (2014), pp. 483-496

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The Dothan pricing model revisited

Pintoux, Caroline; Privault, Nicolas - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 355-363

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