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There are 4794 results for: content related to: Lattice Models for Pricing American Interest Rate Claims

  1. VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

    Mathematical Finance

    Volume 5, Issue 1, January 1995, Pages: 55–72, Peter Ritchken and L. Sankarasubramanian

    Article first published online : 6 DEC 2006, DOI: 10.1111/j.1467-9965.1995.tb00101.x

  2. Pricing and hedging American fixed-income derivatives with implied volatility structures in the two-factor Heath–Jarrow–Morton model

    Journal of Futures Markets

    Volume 22, Issue 9, September 2002, Pages: 839–875, Samuel Yau Man Zeto

    Article first published online : 10 JUL 2002, DOI: 10.1002/fut.10031

  3. Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model

    Journal of Futures Markets

    Volume 21, Issue 7, July 2001, Pages: 655–680, Nusret Cakici and Jintao Zhu

    Article first published online : 17 MAY 2001, DOI: 10.1002/fut.1703

  4. Pricing the Quality Option In Treasury Bond Futures

    Mathematical Finance

    Volume 2, Issue 3, July 1992, Pages: 197–214, Peter Ritchken and L. Sankarasubramanian

    Article first published online : 6 DEC 2006, DOI: 10.1111/j.1467-9965.1992.tb00029.x

  5. Averaging and deferred payment yield agreements

    Journal of Futures Markets

    Volume 13, Issue 1, February 1993, Pages: 23–41, Peter Ritchken and L. Sankarasubramanian

    Article first published online : 28 AUG 2006, DOI: 10.1002/fut.3990130104

  6. Term Structure Models Driven by General Lévy Processes

    Mathematical Finance

    Volume 9, Issue 1, January 1999, Pages: 31–53, Ernst Eberlein and Sebastian Raible

    Article first published online : 25 DEC 2001, DOI: 10.1111/1467-9965.00062

  7. Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

    The Journal of Finance

    Volume 58, Issue 5, October 2003, Pages: 2219–2248, Rong Fan, Anurag Gupta and Peter Ritchken

    Article first published online : 11 SEP 2003, DOI: 10.1111/1540-6261.00603

  8. Abstracts of Papers Presented at the 1995 AFA Meeting

    The Journal of Finance

    Volume 50, Issue 3, July 1995, Pages: 943–1005,

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1995.tb04043.x

  9. On valuing complex interest rate claims

    Journal of Futures Markets

    Volume 10, Issue 5, October 1990, Pages: 443–455, Peter Ritchken and L. Sankarasubramanian

    Article first published online : 25 AUG 2006, DOI: 10.1002/fut.3990100502

  10. Abstracts of Papers Presented at the 1994 AFA Meeting

    The Journal of Finance

    Volume 49, Issue 3, July 1994, Pages: 1043–1102,

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1994.tb00088.x

  11. WHEN IS THE SHORT RATE MARKOVIAN?

    Mathematical Finance

    Volume 4, Issue 4, October 1994, Pages: 305–312, Andrew Carverhill

    Article first published online : 6 DEC 2006, DOI: 10.1111/j.1467-9965.1994.tb00060.x

  12. An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

    The Journal of Finance

    Volume 54, Issue 1, February 1999, Pages: 269–305, Wolfgang Bühler, Marliese Uhrig-Homburg, Ulrich Walter and Thomas Weber

    Article first published online : 6 MAY 2003, DOI: 10.1111/0022-1082.00104

  13. Markovian Term Structure Models

    Standard Article

    Encyclopedia of Quantitative Finance

    Jesper Andreasen

    Published Online : 15 MAY 2010, DOI: 10.1002/9780470061602.eqf11030

  14. EXTENSIONS OF THE STANDARDIZED CROSS-SECTIONAL APPROACH TO SHORT-HORIZON EVENT STUDIES

    Journal of Financial Research

    Volume 30, Issue 4, Winter 2007, Pages: 495–513, Ronald Bremer and Zhaohui Zhang

    Article first published online : 2 NOV 2007, DOI: 10.1111/j.1475-6803.2007.00225.x

  15. An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs

    Numerical Methods for Partial Differential Equations

    Volume 29, Issue 6, November 2013, Pages: 1864–1880, M. Yousuf and A.Q.M. Khaliq

    Article first published online : 3 APR 2013, DOI: 10.1002/num.21780

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    Efficient numerical methods for pricing American options under stochastic volatility

    Numerical Methods for Partial Differential Equations

    Volume 24, Issue 1, January 2008, Pages: 104–126, Samuli Ikonen and Jari Toivanen

    Article first published online : 30 MAR 2007, DOI: 10.1002/num.20239

  17. The Valuation of Interest Rate Digital Options and Range Notes Revisited

    European Financial Management

    Volume 5, Issue 3, November 1999, Pages: 425–440, Patrick Navatte and François Quittard-Pinon

    Article first published online : 16 DEC 2002, DOI: 10.1111/1468-036X.00103

  18. Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations

    Journal of Futures Markets

    Volume 33, Issue 1, January 2013, Pages: 1–28, Suk Joon Byun and Byungsun Min

    Article first published online : 21 OCT 2011, DOI: 10.1002/fut.20551

  19. Multifactor implied volatility functions for HJM models

    Journal of Futures Markets

    Volume 26, Issue 8, August 2006, Pages: 809–833, I-Doun Kuo and Dean A. Paxson

    Article first published online : 21 JUN 2006, DOI: 10.1002/fut.20215

  20. Global European portfolio construction: Does a changing volatility structure matter?

    Applied Stochastic Models in Business and Industry

    Volume 20, Issue 3, July/September 2004, Pages: 265–280, Wolfgang Polasek and Momtchil Pojarliev

    Article first published online : 3 AUG 2004, DOI: 10.1002/asmb.523