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Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond

Rebonato, Riccardo - 2003

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and … academic and professional experience, straddling both sides of the divide to bring together and build on what theory and …

Persistent link: https://www.econbiz.de/10014488388

Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

Rebonato, Riccardo - 2002

Persistent link: https://www.econbiz.de/10001693803

On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved

Cheng, Susan T. - In: Journal of economic theory 53 (1991) 1, pp. 185-198

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Bewertung von Optionen auf Zinskontrakte

Madjlessi, Foruhar - 1992

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Analysing cross-currency basis spreads

Baran, Jaroslav; Witzany, Jiří - In: Ekonomický časopis : časopis pre ekonomickú … 66 (2018) 10, pp. 1002-1030

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An empirical analysis of the pricing of interest rate caps

Jegadeesh, Narasimhan - 1994

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Bond returns and financial index numbers : results from an intertemporal arbitrage free model

Jensen, Bjarne Astrup; Aase Nielsen, Jørgen - 1992

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The statistical distribution of short-term libor rates under two monetary regimes

Pesaran, Bahram; Robinson, Gary - 1993

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Valuation of default-risky interest-rate swaps

Abken, Peter A. - 1991 - Rev

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Die Bewertung von Zinsoptionen

Walter, Ulrich - 1996

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