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A model of the term structure of interest rates
Miltersen, Kristian R. - 1993
Persistent link: https://www.econbiz.de/10000870232
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An arbitrage theory on the term structure of interest rates
Miltersen, Kristian R. - 1991
Persistent link: https://www.econbiz.de/10000822414
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On the stability of lognormal interest rate models
Sandmann, Klaus - 1993
Persistent link: https://www.econbiz.de/10000880242
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An implementation of the HJM model with application to Japanese interest futures
Kamizono, Kanji; Kariya, Takeaki - 1995
Persistent link: https://www.econbiz.de/10000555678
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Log-normal interest rate models : stability and methodology
Sandmann, Klaus; Sondermann, Dieter - 1997
Persistent link: https://www.econbiz.de/10000954624
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A preference free partial differential equation for the term structure of interest rates
Chiarella, Carl; Hassan, Nadima el - 1996
Persistent link: https://www.econbiz.de/10000955777
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Analytical bounds for Treasury bond futures prices
Chen, Ren-Raw; Yeh, Shih-kuo - In: Review of quantitative finance and accounting 39 (2012) 2, pp. 209-239
Persistent link: https://www.econbiz.de/10009629083
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Analyse der Preiskomponenten von Anleihe-Futures
Berendes, Michael - 1994
Persistent link: https://www.econbiz.de/10010223915
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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