Implementation and performance of various stochastic models for interest rate derivatives

DOI10.1002/asmb.432zbMath0967.91019OpenAlexW2056223632MaRDI QIDQ2722296

Roberto Silvotti, Francesco Rapisarda

Publication date: 11 July 2001

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.432

zbMATH Keywords

optionsinterest ratesfinancial derivativesanalytical tractability

Mathematics Subject Classification ID

Cites Work

• Preparation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities

This page was built for publication: Implementation and performance of various stochastic models for interest rate derivatives