A square root interest rate model fitting discrete initial term structure data
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- Erik Schlögl & Lutz Schlögl, 1999. "A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data," Research Paper Series 24, Quantitative Finance Research Centre, University of Technology, Sydney.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Areski Cousin & Ibrahima Niang, 2014. "On the Range of Admissible Term-Structures," Working Papers hal-00968943, HAL.
- Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31.
- Hans-Peter Bermin, 2012. "Bonds and Options in Exponentially Affine Bond Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(6), pages 513-534, December.
- Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 18.
- Gabriel G. Drimus, 2012. "Options on realized variance by transform methods: a non-affine stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1679-1694, November.
- Yang Chang & Erik Schlogl, 2014. "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series 348, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
KeywordsTerm Structure Of Interest Rates Fixed Income Derivatives Square Root Process Chi-SQUARE Distribution;
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