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Interest Rate Dynamics and Derivatives Pricing

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  • Lin Chen

    (Nanyang Technological University)

Abstract

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  • Lin Chen, "undated". "Interest Rate Dynamics and Derivatives Pricing," Computing in Economics and Finance 1997 129, Society for Computational Economics.
    • Handle: RePEc:sce:scecf7:129
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    Cited by:

    1. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
    2. Stephan Höcht & Rudi Zagst, 2010. "Pricing credit derivatives under stochastic recovery in a hybrid model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 254-276, May.
    3. Li, Shaoyu & Huang, Henry H. & Zhang, Teng, 2020. "Generalized affine transform on pricing quanto range accrual note," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Jin, Yufei & Turvey, Calum G., 2004. "A General Approach To Valuing Commodity-Linked Bonds," 2004 Annual meeting, August 1-4, Denver, CO 20039, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146.
    6. Schulze, Klaas, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers 11/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
    7. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
    8. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
    9. Xu, Hai Yan & Ward, Bert D. & Nartea, Gilbert V., 2007. "An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 3(1-2), pages 1-18.
    10. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
    11. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    12. Tanweer Akram, 2021. "Multifactor Keynesian Models of the Long-Term Interest Rate," Economics Working Paper Archive wp_991, Levy Economics Institute.
    13. Christiansen, Charlotte & Lund, Jesper, 2002. "Revisiting the shape of the yield curve: the effect of interest rate volatility," Finance Working Papers 02-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    14. Yao, Yong, 1999. "Term structure modeling and asymptotic long rate," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 327-336, December.
    15. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
    16. Ruiz-Porras, Antonio & Perez-Sicairos, Rene Benjamin, 2010. "Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México [A three-factor model," MPRA Paper 26631, University Library of Munich, Germany.

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