A tractable yield-curve model that guarantees positive interest rates (Q375261): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6220651
@@ Property / zbMATH DE Number: 6220651 / rank @@
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@@ Property / zbMATH Keywords @@
+yield-curve models
@@ Property / zbMATH Keywords: yield-curve models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+interest rate options
@@ Property / zbMATH Keywords: interest rate options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+contingent claims
@@ Property / zbMATH Keywords: contingent claims / rank @@
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@@ Property / zbMATH Keywords @@
+fundamental solutions
@@ Property / zbMATH Keywords: fundamental solutions / rank @@
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@@ Property / cites work @@
+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / 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 @@
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@@ Property / cites work @@
+Q3811988
@@ Property / cites work: Q3811988 / rank @@
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@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
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+Q3910929
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@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Q5674478
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+Q4794126
@@ Property / cites work: Q4794126 / rank @@
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@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Option and Futures Evaluation With Deterministic Volatilities<sup>1</sup>
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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+Q5598785
@@ Property / cites work: Q5598785 / rank @@
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+SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
+Normal rank
@@ Property / cites work @@
+A tractable yield-curve model that guarantees positive interest rates
+Normal rank
@@ Property / cites work @@
+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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@@ Property / cites work @@
+Q4868517
@@ Property / cites work: Q4868517 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/bf01531145
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@@ Property / OpenAlex ID @@
+W1970504406
@@ Property / OpenAlex ID: W1970504406 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:375261