A term structure model and the pricing of interest rate options
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Bibliographic InfoPaper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 129.
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Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
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Term structure; Interest rate options; Martingale; Hedging;
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- Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney.
- Mark H. A. Davis & Vicente Mataix-Pastor, 2009. "Arbitrage-Free Interpolation Of The Swap Curve," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 969-1005.
- Erik Schlögl, 1999.
"A Multicurrency Extension of the Lognormal Interest Rate Market Models,"
Research Paper Series
20, Quantitative Finance Research Centre, University of Technology, Sydney.
- Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196.
- Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B 398, University of Bonn, Germany.
- K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany.
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