This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Pricing American interest rate claims with humped volatility models Author info | Abstract | Publisher info | Download info | Related research | Statistics Moraleda, Juan M.
Vorst, Ton C. F.
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Elsevier in its journal Journal of Banking & Finance .
Volume (Year): 21 (1997)
Issue (Month): 8 (August)
Pages: 1131-1157
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:eee:jbfina:v:21:y:1997:i:8:p:1131-1157Contact details of provider: Web page: http://www.elsevier.com/locate/jbf
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Carl Chiarella & Thuy-Duong Tô, 2006.
"The Multifactor Nature of the Volatility of Futures Markets ,"
Computational Economics ,
Springer, vol. 27(2), pages 163-183, May.
[Downloadable!] (restricted)
Markus Leippold & Liuren Wu, 2002.
"Design and Estimation of Quadratic Term Structure Models ,"
Finance
0207014, EconWPA.
[Downloadable!]
Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006.
"Model misspecification analysis for bond options and Markovian hedging strategies ,"
Review of Derivatives Research ,
Springer, vol. 9(2), pages 109-135, September.
[Downloadable!] (restricted)
Fabio Mercurio, Juan M. Moraleda, 2001.
"A family of humped volatility models ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 7(2), pages 93-116, June.
[Downloadable!] (restricted)
Driessen, J. & Klaassen, P. & Melenberg, B., 2000.
"The performance of multi-factor term structure models for pricing and hedging caps and swaptions ,"
Discussion Paper
93, Tilburg University, Center for Economic Research.
[Downloadable!]
Other versions: Jong, F. de & Driessen, J. & Pelsser, A., 2000.
"Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis ,"
Discussion Paper
35, Tilburg University, Center for Economic Research.
[Downloadable!]
Carl Chiarella & Thuy-Duong To, 2005.
"The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach ,"
Research Paper Series
150, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Other versions:
Carl Chiarella & Hing Hung & Thuy-Duong To, 2005.
"The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach ,"
Research Paper Series
151, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!] Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009.
"The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach ,"
Computational Statistics & Data Analysis ,
Elsevier, vol. 53(6), pages 2075-2088, April.
[Downloadable!] (restricted)
Access and
download statistics Did you know? The most prolific authors have over 700 items listed on IDEAS.
This page was last updated on 2009-7-3.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .