Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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References listed on IDEAS
- Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 419-440, December.
- Patrick Navatte & François Quittard‐Pinon, 1999. "The Valuation of Interest Rate Digital Options and Range Notes Revisited," European Financial Management, European Financial Management Association, vol. 5(3), pages 425-440.
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- 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..
- 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.
- Les Clewlow & Chris Strickland, 1998. "Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models," Research Paper Series 2, Quantitative Finance Research Centre, University of Technology, Sydney.
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