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There are 15900 results for: content related to: Short-Rate Models

  1. Markov-Functional Modelling

    Financial Derivatives in Theory and Practice

    P. J. Hunt, J. E. Kennedy, Pages: 351–371, 2005

    Published Online : 28 JAN 2005, DOI: 10.1002/0470863617.ch19

  2. Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

    Accounting & Finance

    Volume 43, Issue 2, July 2003, Pages: 231–259, Sirimon Treepongkaruna and Stephen Gray

    Version of Record online : 28 MAY 2003, DOI: 10.1111/1467-629X.00090

  3. Review of Synthesis of No-arbitrage Gaussian Term Structure Models

    Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration

    Volume 19, Issue 2, June 2002, Pages: 184–196, San-Lin Chung

    Version of Record online : 8 APR 2009, DOI: 10.1111/j.1936-4490.2002.tb00679.x

  4. An Examination of Blume and Vasicek Betas

    Financial Review

    Volume 33, Issue 3, August 1998, Pages: 183–198, Martin Lally

    Version of Record online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.1998.tb01390.x

  5. Pricing Options on Interest Rate Instruments

    Chapter

    Encyclopedia of Financial Models

    Radu Tunaru and Brian Eales

    Published Online : 15 DEC 2012, DOI: 10.1002/9781118182635.efm0036

  6. Pricing Options on Interest Rate Instruments

    Chapter

    Handbook of Finance

    Radu Tunaru and Brian Eales

    Published Online : 15 SEP 2008, DOI: 10.1002/9780470404324.hof003046

  7. Junp-Diffusion Interest Rate Process: An Empirical Examination

    Journal of Business Finance & Accounting

    Volume 26, Issue 7-8, September/October 1999, Pages: 967–995, Bing-Huei Lin and Shih-Kuo Yeh

    Version of Record online : 3 MAR 2003, DOI: 10.1111/1468-5957.00282

  8. A two-mean reverting-factor model of the term structure of interest rates

    Journal of Futures Markets

    Volume 23, Issue 11, November 2003, Pages: 1075–1105, Manuel Moreno

    Version of Record online : 4 SEP 2003, DOI: 10.1002/fut.10088

  9. Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

    Mathematical Finance

    Volume 14, Issue 1, January 2004, Pages: 49–78, Viatcheslav Gorovoi and Vadim Linetsky

    Version of Record online : 24 DEC 2003, DOI: 10.1111/j.0960-1627.2004.00181.x

  10. A simple approach to bond option pricing

    Journal of Futures Markets

    Volume 17, Issue 2, April 1997, Pages: 131–160, Jason Z. Wei

    Version of Record online : 7 DEC 1998, DOI: 10.1002/(SICI)1096-9934(199704)17:2<131::AID-FUT1>3.0.CO;2-K

  11. Stochastic Volatility Corrections for Interest Rate Derivatives

    Mathematical Finance

    Volume 14, Issue 2, April 2004, Pages: 173–200, Peter Cotton, Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar

    Version of Record online : 22 MAR 2004, DOI: 10.1111/j.0960-1627.2004.00188.x

  12. Interest-Rate Modelling

    Fixed Income Markets: Management, Trading, Hedging, Second Edition

    Moorad Choudhry, David Moskovic, Max Wong, Suleman Baig, Zhuoshi Liu, Michele Lizzio, Alexandru Voicu, Pages: 89–104, 2014

    Published Online : 20 JUN 2014, DOI: 10.1002/9781118638330.ch4

  13. On Gaussian HJM framework for Eurodollar Futures

    Applied Stochastic Models in Business and Industry

    Volume 27, Issue 4, July/August 2011, Pages: 384–401, Balaji Raman and Vladimir Pozdnyakov

    Version of Record online : 12 MAY 2010, DOI: 10.1002/asmb.845

  14. Fundamental and Preference-Free Single-Factor Gaussian Models

    Dynamic Term Structure Modeling: The Fixed Income Valuation Course

    Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto, Pages: 113–186, 2015

    Published Online : 19 SEP 2015, DOI: 10.1002/9781119201571.ch4

  15. INVESTMENT HORIZON, DIVERSIFICATION, AND THE EFFICIENCY OF ALTERNATIVE BETA FORECASTS

    Journal of Financial Research

    Volume 5, Issue 1, Spring 1982, Pages: 1–15, Gabriel A. Hawawini and Ashok Vora

    Version of Record online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1982.tb00621.x

  16. Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates

    Accounting & Finance

    Volume 45, Issue 4, December 2005, Pages: 537–551, Kam Fong Chan

    Version of Record online : 2 DEC 2005, DOI: 10.1111/j.1467-629X.2005.00153.x

  17. International evidence on alternative models of the term structure of volatilities

    Journal of Futures Markets

    Volume 29, Issue 7, July 2009, Pages: 653–683, Antonio Díaz, Vicente Meneu and Eliseo Navarro

    Version of Record online : 6 APR 2009, DOI: 10.1002/fut.20377

  18. Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure

    Economic Notes

    Volume 37, Issue 1, February 2008, Pages: 75–117, Theofanis Archontakis and Wolfgang Lemke

    Version of Record online : 22 APR 2008, DOI: 10.1111/j.1468-0300.2008.00189.x

  19. INFLATION AND THE MEAN-REVERTING LEVEL OF THE SHORT RATE

    The Manchester School

    Volume 78, Issue 1, January 2010, Pages: 76–91, ANDREAS RESCHREITER

    Version of Record online : 23 DEC 2009, DOI: 10.1111/j.1467-9957.2009.02129.x

  20. Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions

    Mathematical Methods in the Applied Sciences

    Volume 31, Issue 6, April 2008, Pages: 665–678, W. Sinkala, P. G. L. Leach and J. G. O'Hara

    Version of Record online : 16 JUL 2007, DOI: 10.1002/mma.935