Duration, factor sensitivities, and interest rate Greeks (Q665789): Difference between revisions

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+https://doi.org/10.1007/s10436-006-0055-x
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+W2095085227
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+Manifolds, tensor analysis, and applications.
@@ Property / cites work: Manifolds, tensor analysis, and applications. / rank @@
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+On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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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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+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
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+Consistency problems for Heath-Jarrow-Morton interest rate models
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+On the geometry of the term structure of interest rates
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+Q4360299
@@ Property / cites work: Q4360299 / rank @@
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+Stochastic duration and fast coupon bond option pricing in multi-factor models
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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+Publication:665789