Interest rate trees: extensions and applications
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Publication:4554489
DOI10.1080/14697688.2017.1406131zbMATH Open1400.91631OpenAlexW2597613201MaRDI QIDQ4554489FDOQ4554489
Authors:
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1406131
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Cites Work
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- An equilibrium characterization of the term structure
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- The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
- A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
- Multi-curve modelling using trees
Cited In (5)
- 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
- Two extensions for fitting discrete time term structure models with normally distributed factors
- Modelling of dynamical interest rates using binomial and trinomial trees
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