Bond, futures and option evaluation in the quadratic interest rate model

Applied Mathematical Finance

Volumn 3, Issue 2, 1996, Pages 93-115

  Jamshidian, Farshid ^a  

^a Sakura Global Capital   (United Kingdom)

Author keywords

forward and transport equations; forward risk adjustment; noncentral chi squared distribution; principal value integral; yield curve calibration

Indexed keywords

EID: 0003102426     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504869600000005     Document Type: Article

References (15)

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