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Modelling the yield curve
Taylor, Mark P. - In: The economic journal : the journal of the Royal … 102 (1992) 412, pp. 524-537
Persistent link: https://www.econbiz.de/10001133020
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Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure
Chen, Ren-Raw - In: The review of financial studies 5 (1992) 4, pp. 613-636
Persistent link: https://www.econbiz.de/10001137840
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A theory of the nominal term structure of interest rates
Kōnstantinidēs, Giōrgos - In: The review of financial studies 5 (1992) 4, pp. 531-552
Persistent link: https://www.econbiz.de/10001137844
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The term structure of interest rates and the basis for financial futures
Livingston, Miles - In: Advances in futures and options research : a research annual 6 (1993), pp. 117-135
Persistent link: https://www.econbiz.de/10001145848
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Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation
Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105
Persistent link: https://www.econbiz.de/10001121808
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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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Tax-induced bias in forward rates, term premiums, and the term structure of interest rates
Kim, Seokchin - In: Economics letters 34 (1990) 2, pp. 183-189
Persistent link: https://www.econbiz.de/10001096976
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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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US Treasury bill forward and futures prices
Fried, Joel - In: Journal of money, credit and banking : JMCB 26 (1994) 1, pp. 55-71
Persistent link: https://www.econbiz.de/10001162951
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One-factor interest-rate models and the valuation of interest-rate derivative securities
Hull, John - In: Journal of financial and quantitative analysis : JFQA 28 (1993) 2, pp. 235-254
Persistent link: https://www.econbiz.de/10001149611