Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems
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9783540770657, 9783540770664

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Theoretical Prices of European Interest-Rate Derivatives

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_3 ◽

2008 ◽

pp. 31-44

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives

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Jump Specifications for Affine Term-Structure Models

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_7 ◽

2008 ◽

pp. 111-123

Keyword(s):

Term Structure ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models

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Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_10 ◽

2008 ◽

pp. 171-174

Keyword(s):

Term Structure ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Stochastic Jump ◽

Jump Intensity ◽

Short Rate Models

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Jump-Enhanced Two-Factor Interest-Rate Models

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_9 ◽

2008 ◽

pp. 145-170

Keyword(s):

Interest Rate ◽

Interest Rate Models

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Numerical Computation of Model Prices

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_6 ◽

2008 ◽

pp. 95-110

Keyword(s):

Numerical Computation

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A General Multi-Factor Model of the Term Structure of Interest Rates and the Principles of Characteristic Functions

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_2 ◽

2008 ◽

pp. 7-30

Keyword(s):

Interest Rates ◽

Term Structure ◽

Factor Model ◽

Characteristic Functions

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Conclusion

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_11 ◽

2008 ◽

pp. 175-178

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Payoff Transformations and the Pricing of European Interest-Rate Derivatives

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_5 ◽

2008 ◽

pp. 69-93

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives

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Jump-Enhanced One-Factor Interest-Rate Models

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_8 ◽

2008 ◽

pp. 125-143

Keyword(s):

Interest Rate ◽

Interest Rate Models

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Three Fourier Transform-Based Pricing Approaches

Pricing Interest-Rate Derivatives - Lecture Notes in Economics and Mathematical Systems ◽

10.1007/978-3-540-77066-4_4 ◽

2008 ◽

pp. 45-68

Keyword(s):

Fourier Transform

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