A two-factor model for low interest rate regimes
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Publication:2575438
DOI10.1007/s10690-005-4251-xzbMath1075.91021OpenAlexW2139115991MaRDI QIDQ2575438
Publication date: 9 December 2005
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-005-4251-x
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Cites Work
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- A Theory of the Term Structure of Interest Rates
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- Volatility skews and extensions of the Libor market model
- Arbitrage in continuous complete markets
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
- Interest rate models -- theory and practice
- A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
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