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An intertemporal interest rate market model : complete markets
Sandmann, Klaus - 1988
Persistent link: https://www.econbiz.de/10000125430
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Predicting the short term forward interest rate structure using a parsimonious model
Bhar, Ram; Hunt, B. F. - 1993
Persistent link: https://www.econbiz.de/10000143785
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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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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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Opciones y futuros sobre tipos de interés a corto plazo
Soldevilla García, Emilio - 1997
Persistent link: https://www.econbiz.de/10000960722
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Valuation of floating range notes in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 28 (2008) 7, pp. 697-710
Persistent link: https://www.econbiz.de/10003715122
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Monetary integration and the cost of borrowing
Gómez Puig, Marta - In: Journal of international money and finance 27 (2008) 3, pp. 455-479
Persistent link: https://www.econbiz.de/10003717259
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...
Persistent link: https://www.econbiz.de/10003635097