A term structure model and the pricing of interest rate options

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A term structure model and the pricing of interest rate options

Author Info

Sandmann,Klaus
Sondermann,Dieter (University of Bonn)

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Klaus Sandmann

Abstract

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Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 129.

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Handle: RePEc:bon:bonsfb:129

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Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 9221
Web page: http://www.bgse.uni-bonn.de/index.php?id=517

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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. [Downloadable!]
Other versions:
- Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196. [Downloadable!] (restricted)
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. [Downloadable!]
Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B 398, University of Bonn, Germany. [Downloadable!]
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. [Downloadable!]

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