Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor (Q2643675): Difference between revisions

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+W2140114617
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+math/0606183
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+Q4254409
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+A discrete Itō calculus approach to He's framework for multi-factor discrete markets
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+Interest rate models -- theory and practice
@@ Property / cites work: Interest rate models -- theory and practice / rank @@
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+Q4230831
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+QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Q4794153
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Q4794126
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+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
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+Convex Analysis
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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+An equilibrium characterization of the term structure
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