SCOPUS 정보 검색 플랫폼

Volumn 25, Issue 6, 1996, Pages 1232-1244

Some remarks on the market model of interest rates

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3042885082 PISSN: 03248569 EISSN: None Source Type: Journal
DOI: None Document Type: Article

Times cited : (5)

References (14)

1
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- Artzner, P.¹ Delbaen, F.²

2
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- A one-factor model of interest rates and its application to treasury bond options
- BLACK, F., DERMAN, E. and TOY, W. (1990) A one-factor model of interest rates and its application to treasury bond options. Finan. Analysts J., I-II, 33-39.
- (1990) Finan. Analysts J. , vol.1-2 , pp. 33-39
- Black, F.¹ Derman, E.² Toy, W.³

4
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- BRACE, A. (1996) Dual swap and swaption formulae in the normal and log-normal models, working paper.
- (1996) Dual Swap and Swaption Formulae in the Normal and Log-normal Models, Working Paper
- Brace, A.¹

6
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- Multifactor Gauss Markov implementation of Heath, Jarrow, Morton
- BRACE, A. and MUSIELA, M. (1994) Multifactor Gauss Markov implementation of Heath, Jarrow, Morton. Math. Finance, 4, 259-283.
- (1994) Math. Finance , vol.4 , pp. 259-283
- Brace, A.¹ Musiela, M.²

7
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- Savings bonds, retractable bonds and callable bonds
- BRENNAN, M. and SCHWARTZ, E. (1977) Savings bonds, retractable bonds and callable bonds. J. Finan. Econ., 5, 67-88.
- (1977) J. Finan. Econ. , vol.5 , pp. 67-88
- Brennan, M.¹ Schwartz, E.²

8
- 0001205798
- A theory of the term structure of interest rates
- COX, J.C., INGERSOLL, J.E. and ROSS, S.A. (1985) A theory of the term structure of interest rates. Econometrica, 53, 385-407.
- (1985) Econometrica , vol.53 , pp. 385-407
- Cox, J.C.¹ Ingersoll, J.E.² Ross, S.A.³

9
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- Preprint S95-4 UNSW, Sydney 1995
- GA̧TAREK, D. (1995) Pricing of American swaptions in approximate lognormal model, Preprint S95-4 UNSW, Sydney 1995.
- (1995) Pricing of American Swaptions in Approximate Lognormal Model
- Ga̧tarek, D.¹

10
- 0002674207
- Bond pricing and the term structure of interest rates: A new methodology
- HEATH, D., JARROW, R. and MORTON, A. (1992) Bond pricing and the term structure of interest rates: a new methodology. Econometrica, 61, 77-105.
- (1992) Econometrica , vol.61 , pp. 77-105
- Heath, D.¹ Jarrow, R.² Morton, A.³

11
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- North-Holland, Amsterdam 1981
- IKEDA, N. and WATANABE, S. (1981) Stochastic differential equations and diffusions processes, North-Holland, Amsterdam 1981.
- (1981) Stochastic Differential Equations and Diffusions Processes
- Ikeda, N.¹ Watanabe, S.²

12
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- Discussion paper, University of Bonn 1995
- MILTERSEN, K., SANDMANN, K. and SONDERMANN, D. (1995) Closed form solutions for term structure derivatives with log-normal interest rates, Discussion paper, University of Bonn 1995.
- (1995) Closed Form Solutions for Term Structure Derivatives with Log-normal Interest Rates
- Miltersen, K.¹ Sandmann, K.² Sondermann, D.³

13
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- Discussion paper No. B-180, University of Bonn 1991
- SANDMANN, K. and SONDERMANN, D. (1991) A term structure model and the pricing of interest rate derivatives, Discussion paper No. B-180, University of Bonn 1991.
- (1991) A Term Structure Model and the Pricing of Interest Rate Derivatives
- Sandmann, K.¹ Sondermann, D.²

14
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- An equilibrium characterisation of the term structure
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- Vasicek, O.¹

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