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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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Asymptotic expansion for interest rates with non-Gaussian dependent innovations
Shiohama, Takayuki; Tamaki, Kenichiro - In: Interest rates : term structure models, monetary …, (pp. 19-61). 2012
Persistent link: https://www.econbiz.de/10009658369
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Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
Miura, Masakazu; Tamaki, Kenichiro; Shiohama, Takayuki - In: Asia-Pacific financial markets 20 (2013) 4, pp. 311-344
Persistent link: https://www.econbiz.de/10010345916