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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

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  • Viatcheslav Gorovoi
  • Vadim Linetsky

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 14 (2004)
Issue (Month): 1 ()
Pages: 49-78

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Handle: RePEc:bla:mathfi:v:14:y:2004:i:1:p:49-78

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Cited by:
  1. Kagraoka, Yusho & Moussa, Zakaria, 2013. "Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 181-201.
  2. Antoine Jacquier & Aleksandar Mijatovic, 2012. "Large deviations for the extended Heston model: the large-time case," Papers 1203.5020, arXiv.org.
  3. Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, EconWPA.
  4. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
  5. Jens H.E. Christensen & Glenn D. Rudebusch, 2013. "Estimating shadow-rate term structure models with near-zero yields," Working Paper Series 2013-07, Federal Reserve Bank of San Francisco.
  6. Lim, Dongjae & Li, Lingfei & Linetsky, Vadim, 2012. "Evaluating callable and putable bonds: An eigenfunction expansion approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1888-1908.
  7. Matthew Lorig, 2011. "Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach," Papers 1109.0738, arXiv.org, revised Apr 2012.
  8. Christensen, Jens H.E. & Rudebusch, Glenn D., 2013. "Modeling yields at the zero lower bound: are shadow rates the solution?," Working Paper Series 2013-39, Federal Reserve Bank of San Francisco.

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