Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance
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Published By Springer London

9781849968614, 9781447138884

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The Hull-White Model

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_5 ◽

2000 ◽

pp. 45-58

Author(s):

Antoon Pelsser

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Spot and Forward Rate Models

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_3 ◽

2000 ◽

pp. 23-30

Author(s):

Antoon Pelsser

Keyword(s):

Forward Rate

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The Squared Gaussian Model

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_6 ◽

2000 ◽

pp. 59-70

Author(s):

Antoon Pelsser

Keyword(s):

Gaussian Model

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Fundamental Solutions and the Forward-Risk-Adjusted Measure

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_4 ◽

2000 ◽

pp. 31-43

Author(s):

Antoon Pelsser

Keyword(s):

Fundamental Solutions

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Markov-Functional Models

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_9 ◽

2000 ◽

pp. 109-129

Author(s):

Antoon Pelsser

Keyword(s):

Functional Models

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An Empirical Comparison of One-Factor Models

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_7 ◽

2000 ◽

pp. 71-84 ◽

Cited By ~ 1

Author(s):

Antoon Pelsser

Keyword(s):

Factor Models ◽

Empirical Comparison

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Extensions and Further Developments

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_12 ◽

2000 ◽

pp. 159-162

Author(s):

Antoon Pelsser

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An Empirical Comparison of Market Models

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_10 ◽

2000 ◽

pp. 131-137

Author(s):

Antoon Pelsser

Keyword(s):

Empirical Comparison ◽

Market Models

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Introduction

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_1 ◽

2000 ◽

pp. 1-4

Author(s):

Antoon Pelsser

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LIBOR and Swap Market Models

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance ◽

10.1007/978-1-4471-3888-4_8 ◽

2000 ◽

pp. 87-107

Author(s):

Antoon Pelsser

Keyword(s):

Market Models

Download Full-text

Efficient Methods for Valuing Interest Rate Derivatives - Springer FinanceLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer London

The Hull-White Model

Spot and Forward Rate Models

The Squared Gaussian Model

Fundamental Solutions and the Forward-Risk-Adjusted Measure

Markov-Functional Models

An Empirical Comparison of One-Factor Models

Extensions and Further Developments

An Empirical Comparison of Market Models

Introduction

LIBOR and Swap Market Models

Efficient Methods for Valuing Interest Rate Derivatives - Springer Finance
Latest Publications