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Pricing American interest rate claims with humped volatility models

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Author Info
Moraleda, Juan M.
Vorst, Ton C. F.
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 21 (1997)
Issue (Month): 8 (August)
Pages: 1131-1157
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Handle: RePEc:eee:jbfina:v:21:y:1997:i:8:p:1131-1157

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  1. 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)
  2. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA. [Downloadable!]
  3. 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)
  4. 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)
  5. 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!]
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  6. 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!]
  7. 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:
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