A two-factor model for low interest rate regimes (Q2575438): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-005-4251-x
+Normal rank
@@ Property / OpenAlex ID @@
+W2139115991
@@ Property / OpenAlex ID: W2139115991 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility skews and extensions of the Libor market model
+Normal rank
@@ Property / cites work @@
+A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice
@@ Property / cites work: Interest rate models -- theory and practice / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
+Normal rank
@@ Property / cites work @@
+Understanding the implied volatility surface for options on a diversified index
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Q2756617
@@ Property / cites work: Q2756617 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage in continuous complete markets
@@ Property / cites work: Arbitrage in continuous complete markets / rank @@
+Normal rank
@@ Property / cites work @@
+AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
@@ Property / cites work: AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
+Normal rank
@@ Property / cites work @@
+Q2756619
@@ Property / cites work: Q2756619 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4868517
@@ Property / cites work: Q4868517 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank