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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
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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
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The central tendency : a second factor in bond yields
Balduzzi, Pierluigi; Das, Sanjiv R.; Foresi, Silverio - 1997
Persistent link: https://www.econbiz.de/10000652226
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Poisson-Gaussian processes and the bond market
Das, Sanjiv R. - 1998
Persistent link: https://www.econbiz.de/10000671235
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Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh; Das, Sanjiv R.; Fan, Rong - In: The journal of fixed income 17 (2007) 3, pp. 38-56
Persistent link: https://www.econbiz.de/10003687357
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Credit spreads with dynamic debt
Das, Sanjiv R.; Kim, Seoyoung - In: Journal of banking & finance 50 (2015), pp. 121-140
Persistent link: https://www.econbiz.de/10010509132
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[Rezension von: Rebonato, Riccardo, Modern pricing of interest-rate derivatives, the LIBOR market model and beyond]
Das, Sanjiv R. - In: Journal of economic literature 42 (2004) 2, pp. 528-529
Persistent link: https://www.econbiz.de/10002166536
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Analytical approximations of the term structure for jump-diffusion processes : a numerical analysis
Baz, Jamil - In: The journal of fixed income 6 (1996) 1, pp. 78-86
Persistent link: https://www.econbiz.de/10001205422
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The surprise element: jumps in interest rates
Das, Sanjiv R. - In: Journal of econometrics 106 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
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Of smiles and smirks : a term structure perspective
Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 211-239
Persistent link: https://www.econbiz.de/10001436315