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A multi-factor Markovian HJM model for pricing American interest rate derivatives

Kramin, Marat V.; Nandi, Saikat; Shulman, Alexander L. - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10008136517

Pricing and hedging index options under stochastic volatility : an empirical examiniation

Nandi, Saikat - 1996

Persistent link: https://www.econbiz.de/10000958009

Valuation models for default-risky securities : an overview

Nandi, Saikat - In: Economic review 83 (1998) 4, pp. 22-35

Persistent link: https://www.econbiz.de/10001352539

Treasury auctions : what do the recent models and results tell us?

Nandi, Saikat - In: Economic review 82 (1997) 4, pp. 4-15

Persistent link: https://www.econbiz.de/10001234406

How important is the correlation between returns and volatility in a stochastic volatility model? : Empirical evidence from pricing and hedging in the S&P 500 index options market

Nandi, Saikat - In: Journal of banking & finance 22 (1998) 5, pp. 589-610

Persistent link: https://www.econbiz.de/10001243308

Asymmetric information about volatility : how does it affect implied volatility, option prices and market liquidity?

Nandi, Saikat - In: Review of derivatives research 3 (1999) 3, pp. 215-236

Persistent link: https://www.econbiz.de/10001493258

Two‐State Option Pricing: Binomial Models Revisited

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: Journal of Futures Markets 21 (2001) 11, pp. 987-1001

This article revisits the topic of two‐state option pricing. It examines the models developed by Cox, Ross, and Rubinstein (1979), Rendleman and Bartter (1979), and Trigeorgis (1991) and presents two alternative binomial models based on the continuous‐time and discrete‐time geometric...

Persistent link: https://www.econbiz.de/10011197301

Nth-to-default swaps: valuation and analysis

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: Managerial Finance 35 (2009), pp. 25-47

Purpose - Credit derivatives continue to grow in popularity as well as complexity. While single-name credit default swaps are still the most popular instruments, second-generation products have become more commonplace. Second generation products are those whose payoffs are contingent on the...

Persistent link: https://www.econbiz.de/10010761732

Option pricing and higher order moments

Young, Stephen D.; Jabbour, George M.; Kramin, Marat V.; … - In: Advances in quantitative analysis of finance and … 10 (2002), pp. 23-39

Persistent link: https://www.econbiz.de/10001753316

A simple induction approach and an efficient trinomial lattice for multi-state variable interest rate derivatives models

Kramin, Marat V.; Kramin, Timur V.; Younger, Stephen D.; … - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 199-226

Persistent link: https://www.econbiz.de/10002851875