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Chacko, George; Das, Sanjiv R. - 1997

Persistent link: https://www.econbiz.de/10000630555

Pricing Interest Rate Derivatives : A General Approach

Chacko, George; Das, Sanjiv Ranjan - 2011

The relationship between affine stochastic processes and bong pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential afffine, then there is a linkage between...

Persistent link: https://www.econbiz.de/10014191742

Credit risk derivatives

Das, Sanjiv R. - In: The journal of derivatives : the official publication … 2 (1995) 3, pp. 7-23

Persistent link: https://www.econbiz.de/10001219525

Discrete-time bond and option pricing for jump-diffusion processes

Das, Sanjiv R. - In: Review of derivatives research 1 (1996) 3, pp. 211-243

Persistent link: https://www.econbiz.de/10001238754

A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model

Das, Sanjiv R. - In: Journal of economic dynamics & control 23 (1999) 3, pp. 333-369

Persistent link: https://www.econbiz.de/10001254303

An efficient generalized discrete-time approach to Poisson-Gaussian bond option pricing in the Health-Jarrow-Morton model

Das, Sanjiv R. - 1997

Persistent link: https://www.econbiz.de/10001590545

Dealing with dimension : option pricing on factor trees

Das, Sanjiv R.; Granger, Brian - In: Journal of investment management : JOIM 7 (2009) 2, pp. 73-85

Persistent link: https://www.econbiz.de/10003862674

Options on portfolios with higher-order moments

Bhandari, Rishabh; Das, Sanjiv R. - In: Finance research letters 6 (2009) 3, pp. 122-129

Persistent link: https://www.econbiz.de/10003888004

Random lattices for option pricing problems in finance

Das, Sanjiv R. - In: Journal of investment management : JOIM 9 (2011) 2, pp. 88-106

Persistent link: https://www.econbiz.de/10009305604

Strategic loan modification : an options-based response to strategic default

Das, Sanjiv R.; Meadows, Ray - In: Journal of banking & finance 37 (2013) 2, pp. 636-647

Persistent link: https://www.econbiz.de/10009705609