Short-Rate Models and Lattice Implementation

Interest Rate Modeling ◽

10.1201/b15841-9 ◽

2009 ◽

pp. 153-186

Keyword(s):

Lattice Implementation ◽

Short Rate Models

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Short-Rate Models and Lattice Implementation

Interest Rate Modeling ◽

10.1201/9781351227421-5 ◽

2019 ◽

pp. 119-148

Author(s):

Lixin Wu

Keyword(s):

Lattice Implementation ◽

Short Rate Models

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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.304 ◽

2015 ◽

Vol 18 (4) ◽

pp. 129-161 ◽

Cited By ~ 1

Author(s):

Radha Krishn Coonjobeharry ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Interest Rate ◽

Integrodifferential Equation ◽

Interest Rate Derivatives ◽

Short Rate Models ◽

Partial Integrodifferential Equation

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On Deterministic Shift Extensions of Short Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.292060 ◽

2001 ◽

Cited By ~ 8

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Short Rate Models

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A lattice implementation of the Isgur-Wise limit

Nuclear Physics B - Proceedings Supplements ◽

10.1016/0920-5632(92)90303-a ◽

1992 ◽

Vol 26 ◽

pp. 459-461 ◽

Cited By ~ 6

Author(s):

Jeffrey E. Mandula ◽

Michael C. Ogilvie

Keyword(s):

Lattice Implementation

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Affine Short Rate Models

Seminar on Stochastic Analysis, Random Fields and Applications III ◽

10.1007/978-3-0348-8209-5_9 ◽

2002 ◽

pp. 121-132

Author(s):

D. Filipović

Keyword(s):

Short Rate Models

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Short-Rate Models

Interest Rate Swaps and Their Derivatives ◽

10.1002/9781118267967.ch8 ◽

2011 ◽

pp. 149-173

Keyword(s):

Short Rate Models

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Fixed-Income Derivatives I: Short-Rate Models

Handbook of Financial Risk Management ◽

10.1002/9781118573570.ch5 ◽

2013 ◽

pp. 177-216

Keyword(s):

Fixed Income ◽

Fixed Income Derivatives ◽

Short Rate Models

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Two-Factor Short-Rate Models

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/3-540-34604-x_4 ◽

2006 ◽

pp. 137-181

Keyword(s):

Short Rate Models

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Pricing American Interest Rate Options Under the Jump-Extended CIR and CEV Short Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.985839 ◽

2007 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha ◽

Gloria M. Soto

Keyword(s):

Interest Rate ◽

Interest Rate Options ◽

American Interest ◽

Short Rate Models

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Two-Factor Short-Rate Models

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_4 ◽

2001 ◽

pp. 127-171

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Short Rate Models

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