Algorithms behind Term Structure Models of Interest Rates II: The Hull-White Trinomial Tree of Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.292223 ◽

2001 ◽

Author(s):

Markus Leippold ◽

Zvi Wiener

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models ◽

Trinomial Tree

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Interest Rates and Term Structure Models

Derivatives and Internal Models ◽

10.1007/978-3-030-22899-6_14 ◽

2019 ◽

pp. 287-351

Author(s):

Hans-Peter Deutsch ◽

Mark W. Beinker

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models

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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.2006063 ◽

2012 ◽

Cited By ~ 16

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Exchange rates and interest rates: can term structure models explain currency movements?

Journal of Economic Dynamics and Control ◽

10.1016/s0165-1889(03)00081-2 ◽

2004 ◽

Vol 28 (8) ◽

pp. 1595-1624 ◽

Cited By ~ 37

Author(s):

Ahmet Can Inci ◽

Biao Lu

Keyword(s):

Exchange Rates ◽

Interest Rates ◽

Term Structure ◽

Term Structure Models

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Linear-quadratic term structure models – Toward the understanding of jumps in interest rates

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2008.08.018 ◽

2009 ◽

Vol 33 (3) ◽

pp. 473-485 ◽

Cited By ~ 31

Author(s):

George Jiang ◽

Shu Yan

Keyword(s):

Interest Rates ◽

Term Structure ◽

Quadratic Term ◽

Linear Quadratic ◽

Term Structure Models ◽

Quadratic Term Structure

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Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data

Applied Financial Economics ◽

10.1080/09603107.2011.562165 ◽

2011 ◽

Vol 21 (14) ◽

pp. 1069-1078 ◽

Cited By ~ 2

Author(s):

K. Ben Nowman

Keyword(s):

Panel Data ◽

Interest Rates ◽

Term Structure ◽

Term Structure Models ◽

Three Factor

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Algorithms behind Term Structure Models of Interest Rates: I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model

SSRN Electronic Journal ◽

10.2139/ssrn.292225 ◽

2001 ◽

Cited By ~ 1

Author(s):

Markus Leippold ◽

Zvi Wiener

Keyword(s):

Interest Rates ◽

Term Structure ◽

Lee Model ◽

Term Structure Models

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Interest Rates and Term Structure Models

Derivatives and Internal Models ◽

10.1057/9780230502109_15 ◽

2002 ◽

pp. 229-279

Author(s):

Hans-Peter Deutsch

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models

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Term Structure Models for Interest Rates

Universitext - Introduction to Stochastic Finance ◽

10.1007/978-981-13-1657-9_8 ◽

2018 ◽

pp. 217-246

Author(s):

Jia-An Yan

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models

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Forecasting U.K. and U.S. interest rates using continuous time term structure models

International Review of Financial Analysis ◽

10.1016/s1057-5219(99)80013-1 ◽

1998 ◽

Vol 7 (3) ◽

pp. 191-206 ◽

Cited By ~ 7

Author(s):

S.L. Byers ◽

K.B. Nowman

Keyword(s):

Interest Rates ◽

Term Structure ◽

Continuous Time ◽

Term Structure Models ◽

Time Term

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Interest Rates and Term Structure Models

Derivatives and Internal Models ◽

10.1057/9780230234758_14 ◽

2009 ◽

pp. 254-312

Author(s):

Hans-Peter Deutsch

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models

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