Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152): Difference between revisions

@@ Property / cites work @@
+A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
+Normal rank
@@ Property / cites work @@
+Q5478316
@@ Property / cites work: Q5478316 / rank @@
+Normal rank
@@ Property / cites work @@
+A General Formula for Valuing Defaultable Securities
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Derivatives in Theory and Practice
@@ Property / cites work: Financial Derivatives in Theory and Practice / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic duration and fast coupon bond option pricing in multi-factor models
+Normal rank
@@ Property / cites work @@
+A tractable yield-curve model that guarantees positive interest rates
+Normal rank
@@ Property / cites work @@
+PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
+Normal rank
@@ Property / cites work @@
+PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
+Normal rank