Binomial models for interest rates

DOI10.1007/978-3-642-03479-4_18zbMATH Open1217.91193OpenAlexW98730433MaRDI QIDQ3000889FDOQ3000889

Authors: John van der Hoek 

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_18

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (8)

• Probability Properties of Interest Rate Models
• Recombining Binomial Tree Approximations for Diffusions
• Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
• A binomial approximation for two-state Markovian HJM models
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• Building recombining trinomial trees for time-homogeneous diffusion processes
• Modelling of dynamical interest rates using binomial and trinomial trees
• A simple trinomial lattice approach for the skew-extended CIR models

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