MultiFactor Valuation of Floating Range Notes

DOI10.1111/J.0960-1627.2004.00182.XMaRDI QIDQ4464014zbMATH OpenOpenAlexFDO

Authors João P. Nunes

Publication date 27 May 2004

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2004.00182.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation.
• Computation of the Bivariate Normal Integral
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Martingales and stochastic integrals in the theory of continuous trading

Cited in

(6)

• Valuing early-exercise interest-rate options with multi-factor affine models
• Pricing of range accrual swap in the quantum finance Libor market model
• Pricing swaptions under multifactor Gaussian HJM models
• Pricing range notes within Wishart affine models
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
• Pricing longevity derivatives via Fourier transforms

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