Eurodollar futures pricing in log-normal interest rate models in discrete time
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Publication:4585685
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Cites work
- scientific article; zbMATH DE number 3876298 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 1505639 (Why is no real title available?)
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- A term structure model and the pricing of interest rate derivatives.
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Explosive behavior in a log-normal interest rate model
- Explosive behavior in the Black-Derman-Toy model
- Interest rate models -- theory and practice. With smile, inflation and credit
- LIBOR and swap market models and measures
- MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
- Markov-functional interest rate models
- Moment explosion in the LIBOR market model
- Moment explosions in stochastic volatility models
- On a comparison theorem for solutions of stochastic differential equations and its applications
- On the growth rate of a linear stochastic recursion with Markovian dependence
- On the martingale framework for futures prices.
- Phase transitions in exponential random graphs
- TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
- The Market Model of Interest Rate Dynamics
Cited in
(6)- Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion
- Convexity bias in the pricing of Eurodollar swaps
- Explosive behavior in the Black-Derman-Toy model
- A test of the beta model on Eurodollar futures options
- Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process
- On Gaussian HJM framework for Eurodollar futures
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