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Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure
Chen, Ren-Raw - In: The journal of derivatives : the official publication … 3 (1995) 2, pp. 53-72
Persistent link: https://www.econbiz.de/10001223183
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Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
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An econometric model of the term structure of interest-rate swap yields
Duffie, Darrell - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1321
Persistent link: https://www.econbiz.de/10001227656
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Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les - In: The journal of fixed income 7 (1997) 3, pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
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An implementation of the HJM model with application to Japanese interest futures
Kamizono, Kenji - In: Financial engineering and the Japanese markets 3 (1996) 2, pp. 151-170
Persistent link: https://www.econbiz.de/10001204401
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An empirical examination of the Longstaff-Schwartz bond option valuation model
Uhrig, Marliese - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 41-54
Persistent link: https://www.econbiz.de/10001207623
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The Ho-Lee binomial stochastic process and duration
Bierwag, Gerald O. - In: The journal of fixed income 6 (1996) 2, pp. 76-87
Persistent link: https://www.econbiz.de/10001208580
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Valuation of two-factor term structure models
Goldman, D.; Heath, D.; Kentwell, Glenn; Platen, Eckhard - In: Advances in futures and options research : a research annual 8 (1995), pp. 263-291
Persistent link: https://www.econbiz.de/10001211280
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A one-factor lognormal Markovian interest rate model : theory and implementation
Li, Anlong - In: Advances in futures and options research : a research annual 8 (1995), pp. 229-239
Persistent link: https://www.econbiz.de/10001211283
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A model-selection approach to assessing the information in the term structure using linear models and artificial neural networks
Swanson, Norman R. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 3, pp. 265-275
Persistent link: https://www.econbiz.de/10001182360