Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
From MaRDI portal
Publication:4683077
DOI10.1080/14697688.2014.943274zbMath1398.91612OpenAlexW2051464134MaRDI QIDQ4683077
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.943274
critical phenomenafixed incomeinterest rate modellingderivative pricing modelsapplied mathematical finance
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- The logistic-normal integral and its generalizations
- Interest rate models -- theory and practice. With smile, inflation and credit
- LIBOR and swap market models and measures
- Markovian term structure models in discrete time
- Moment explosions in stochastic volatility models
- EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL
- The Exponentially Convergent Trapezoidal Rule
- [https://portal.mardi4nfdi.de/wiki/Publication:3204019 The Evaluation of Integrals of the Form � +∞ -∞ f(t)exp(- t 2 ) dt: Application to Logistic-Normal Models]
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- The Market Model of Interest Rate Dynamics
- Lognormality of rates and term structure models
- Markov interest rate models
- Calibrating the Black-Derman-Toy model: some theoretical results
- Phase transition in a log-normal Markov functional model
- Approximate Formulas for Zero‐coupon Bonds
- The Fast Gauss Transform
- Statistical Theory of Equations of State and Phase Transitions. II. Lattice Gas and Ising Model
- A Method for the Calculation of the Zeta-Function
- Discrete-time continuous-state interest rate models
