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An analysis of nonlinearities in term premiums and forward rates

Huang, Roger D. - In: Journal of empirical finance 3 (1996) 4, pp. 347-368

Persistent link: https://www.econbiz.de/10001215363

A preference free partial differential equation for the term structure of interest rates

Chiarella, Carl - In: Financial engineering and the Japanese markets 3 (1996) 3, pp. 217-238

Persistent link: https://www.econbiz.de/10001215396

Futures prices on yields, forward prices, and implied forward prices from term structure

Sundaresan, Suresh M. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 409-424

Persistent link: https://www.econbiz.de/10001113528

Closed form solutions for term structure derivatives with log-normal interest rates

Miltersen, Kristian R. - In: The journal of finance : the journal of the American … 52 (1997) 1, pp. 409-430

Persistent link: https://www.econbiz.de/10001217780

American bond option pricing in one-factor dynamic term structure models

Løchte Jørgensen, Peter - In: Review of derivatives research 1 (1996) 3, pp. 245-267

Persistent link: https://www.econbiz.de/10001238753

The construction of a path-independent interest rate tree : the model of Heath, Jarrow and Morton

Munnik, Jeroen F. de - In: Advances in futures and options research : a research annual 7 (1994), pp. 135-145

Persistent link: https://www.econbiz.de/10001196349

The importance of forward rate volatility structures in pricing interest rate-sensitive claims

Ritchken, Peter H. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10001219431

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

Consistent re-calibration of the discrete-time multifactor Vasiček model

Harms, Philipp; Stefanovits, David; Teichmann, Josef; … - In: Risks : open access journal 4 (2016) 3, pp. 1-31

The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In practice, re-calibration of the model to the...

Persistent link: https://www.econbiz.de/10011507735

Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575