Binomial models for interest rates

DOI10.1007/978-3-642-03479-4_18MaRDI QIDQ3000889zbMATH OpenOpenAlexFDO

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

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)

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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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