Interest rate trees: extensions and applications
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Recommendations
- A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
- Two extensions for fitting discrete time term structure models with normally distributed factors
- Efficient calibration of trinomial trees for one-factor short rate models
- Pricing interest-rate-derivative securities
- Multi-curve modelling using trees
Cites work
- A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
- An equilibrium characterization of the term structure
- scientific article; zbMATH DE number 3924012 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Multi-curve modelling using trees
- Pricing interest-rate-derivative securities
- The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
Cited in
(5)- Modelling of dynamical interest rates using binomial and trinomial trees
- Two extensions for fitting discrete time term structure models with normally distributed factors
- A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
- Multi-curve modelling using trees
- Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
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