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A multi-factor Markovian HJM model for pricing American interest rate derivatives

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Author Info
Marat Kramin ()
Saikat Nandi ()
Alexander Shulman ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s11156-007-0078-z
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 31 (2008)
Issue (Month): 4 (November)
Pages: 359-378
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:rqfnac:v:31:y:2008:i:4:p:359-378

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: Monte Carlo simulation; Lattice; Recombining tree; American derivatives; Markovian HJM framework; Multi-state variable multi-factor model; Interest rate options; Computational efficiency; G13;

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  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 719-37, June. [Downloadable!] (restricted)
  2. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
  3. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June. [Downloadable!] (restricted)
  4. Barraquand, J?r?me & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September. [Downloadable!]
  5. Marat Kramin & Timur Kramin & Stephen Young & Venkat Dharan, 2005. "A Simple Induction Approach and an Efficient Trinomial Lattice for Multi-State Variable Interest Rate Derivatives Models," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 199-226, January. [Downloadable!] (restricted)
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