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

2015 ◽  
Vol 18 (4) ◽  
pp. 129-161 ◽  
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

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework

Board Composition and Corporate Investment in Interest Rate Derivatives

2001 ◽  
Author(s):  
Kenneth A. Borokhovich ◽  
Kelly R. Brunarski ◽  
Claire E. Crutchley ◽  
Betty J. Simkins
Keyword(s):  
Interest Rate ◽  
Corporate Investment ◽  
Board Composition ◽  
Interest Rate Derivatives

Interest-rate derivatives and bank lending

2000 ◽  
Vol 24 (3) ◽  
pp. 353-379 ◽  
Author(s):  
Elijah Brewer III ◽  
Bernadette A. Minton ◽  
James T. Moser
Keyword(s):  
Interest Rate ◽  
Bank Lending ◽  
Interest Rate Derivatives
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