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A simple time-varying binomial model for the valuation of interest rate-contingent claims
Ronn, Ehud I. - In: Advances in futures and options research : a research annual 5 (1991), pp. 89-111
Persistent link: https://www.econbiz.de/10001123294
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Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn - In: Journal of financial and quantitative analysis : JFQA 28 (1993) 4, pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
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A one-factor model of interest rates and its application to treasury bond options
Black, Fischer - In: Financial analysts' journal : FAJ 46 (1990) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10001085204
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An econometric model of the term structure of interest-rate swap yields
Duffie, Darrell - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1321
Persistent link: https://www.econbiz.de/10001227656
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Essays on interest-rate volatility and the pricing of interest-rate derivative assets
Hanweck, Gerald Alfred - 1994
Persistent link: https://www.econbiz.de/10000916134
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The statistical distribution of short-term libor rates under two monetary regimes
Pesaran, Bahram; Robinson, Gary - 1993
Persistent link: https://www.econbiz.de/10000868578
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 17 (2007) 3, pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
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Switiching VARMA term structure models
Monfort, Alain; Pegoraro, Fulvio - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 105-153
Persistent link: https://www.econbiz.de/10003518289
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Essays in empirical asset pricing
Apedjinou, Kodjo Mawuelona - 2005
Persistent link: https://www.econbiz.de/10003553254