Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
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Cited in
(41)- A multi-quality model of interest rates
- The valuation of options on foreign exchange rate in a target zone
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- A two-factor model for low interest rate regimes
- INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
- Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
- A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
- On the transition densities for reflected diffusions
- Large deviations for the boundary local time of doubly reflected Brownian motion
- Large deviations for the extended Heston model: the large-time case
- Black's model in a negative interest rate environment, with application to OTC derivatives
- On the transition density and first hitting time distributions of the doubly skewed CIR process
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
- Evaluating callable and putable bonds: an eigenfunction expansion approach
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- On the conditional default probability in a regulated market with jump risk
- Some integral functionals of reflected SDEs and their applications in finance
- A positive interest rate model with sticky barrier
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- A term structure interest rate model with the Brownian bridge lower bound
- Staying at zero with affine processes: an application to term structure modelling
- Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
- Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- The spectral representation of Bessel processes with constant drift: applications in queueing and finance
- Term structure models and the zero bound: an empirical investigation of Japanese yields
- A simple trinomial lattice approach for the skew-extended CIR models
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
- Investment under uncertainty with a zero lower bound on interest rates
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Option pricing in a one-dimensional affine term structure model via spectral representations
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Optimal stopping in infinite horizon: an eigenfunction expansion approach
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- The Gibbs sampler with particle efficient importance sampling for state-space models
- Skew Ornstein-Uhlenbeck processes and their financial applications
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