A tractable yield-curve model that guarantees positive interest rates
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Publication:375261
DOI10.1007/BF01531145zbMATH Open1274.91437OpenAlexW1970504406MaRDI QIDQ375261FDOQ375261
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531145
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- Option and Futures Evaluation With Deterministic Volatilities1
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- A tractable yield-curve model that guarantees positive interest rates
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
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Cited In (7)
- Calibration of one-factor and two-factor hull-white models using swaptions
- Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
- Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
- A collateralized loan’s loss under a quadratic Gaussian default intensity process
- A tractable yield-curve model that guarantees positive interest rates
- Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
- A multi-quality model of interest rates
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