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On the Quasi Gaussian Interest Rate Models

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  • Jirô Akahori

Abstract

In this paper some remarks on the interest rate model proposed by Jamishidian (1991) and Ritchken and Sankarasubramanian (1995b) are presented. Copyright Kluwer Academic Publishers 1999

Suggested Citation

  • Jirô Akahori, 1999. "On the Quasi Gaussian Interest Rate Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 3-6, January.
  • Handle: RePEc:kap:apfinm:v:6:y:1999:i:1:p:3-6
    DOI: 10.1023/A:1010050324643
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    References listed on IDEAS

    as
    1. Li, Anlong & Ritchken, Peter & Sankarasubramanian, L, 1995. "Lattice Models for Pricing American Interest Rate Claims," Journal of Finance, American Finance Association, vol. 50(2), pages 719-737, June.
    2. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
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    Keywords

    interest rate models; quasi Gaussian;

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