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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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Path dependent options on yields in the affine term structure model
Leblanc, Boris - In: Finance and stochastics 2 (1998) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10001246924
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The information content of 3-month Sterling futures
Bhundia, Ashok J. - In: Economics letters 61 (1998) 2, pp. 209-214
Persistent link: https://www.econbiz.de/10001252483
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A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
Das, Sanjiv R. - In: Journal of economic dynamics & control 23 (1999) 3, pp. 333-369
Persistent link: https://www.econbiz.de/10001254303
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An analysis of nonlinearities in term premiums and forward rates
Huang, Roger D. - In: Journal of empirical finance 3 (1996) 4, pp. 347-368
Persistent link: https://www.econbiz.de/10001215363
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A preference free partial differential equation for the term structure of interest rates
Chiarella, Carl - In: Financial engineering and the Japanese markets 3 (1996) 3, pp. 217-238
Persistent link: https://www.econbiz.de/10001215396
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Futures prices on yields, forward prices, and implied forward prices from term structure
Sundaresan, Suresh M. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 409-424
Persistent link: https://www.econbiz.de/10001113528
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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. - In: The journal of finance : the journal of the American … 52 (1997) 1, pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
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American bond option pricing in one-factor dynamic term structure models
Løchte Jørgensen, Peter - In: Review of derivatives research 1 (1996) 3, pp. 245-267
Persistent link: https://www.econbiz.de/10001238753