Interest rate derivatives in a duffie and kan model with stochastic volatility: An arrow-debreu pricing approach

Review of Derivatives Research

Volumn 3, Issue 1, 1999, Pages 5-66

  Nunes, João Pedro Vidal ^a,b   Clewlow, L E S ^c,d   Hodges, Stewart ^c,e  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b INSTITUTO UNIVERSITÁRIO DE LISBOA ISCTE IUL   (Portugal)

^c UNIVERSITY OF WARWICK   (United Kingdom)

^d UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^e AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Arrow debreu prices; Bonds, interest rate futures; European path independent interest rate options; Exponential affine models; Stochastic volatility

Indexed keywords

EID: 0010590594     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1009646430215     Document Type: Article

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