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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
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Eine konsistente Bewertung von Zinsswaps und ihren Risiken durch Berücksichtigung der modernen Zinsstrukturtheorie
Tschernig, Markus - 1996
Persistent link: https://www.econbiz.de/10000931276
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.; Sandmann, Klaus; Sondermann, Dieter - 1995
Persistent link: https://www.econbiz.de/10000908299
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An arbitrage theory of the term structure of interest rates
Miltersen, Kristian R. - 1992 - 2. ed
Persistent link: https://www.econbiz.de/10000853604
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Correlation analysis in the libor and swap market model
De Malherbe, Etienne - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
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Libor market models versus swap market models for pricing interest rate derivatives : an empirical analysis
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: European finance review : the official journal of the … 5 (2001) 3, pp. 201-237
Persistent link: https://www.econbiz.de/10001654818
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An empirical study of the term structure of interest rates
Miltersen, Kristian R. - 1992
Persistent link: https://www.econbiz.de/10000851680
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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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Swap Futures in HJM One-Factor Model
Kennedy, Gary J. - 2010
Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity correction due to margining is investigated and found to be (almost) worthless in most cases
Persistent link: https://www.econbiz.de/10013139852