Correlating Market Models
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
- 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.
- Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
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Cited by:
- repec:wsi:ijtafx:v:09:y:2006:i:07:n:s0219024906003913 is not listed on IDEAS
- Kay Pilz & Erik Schlogl, 2010. "Calibration of Multicurrency LIBOR Market Models," Research Paper Series 286, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fabio Mercurio, 2005. "Pricing inflation-indexed derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 289-302.
- Raoul Pietersz & Antoon Pelsser, 2010.
"A comparison of single factor Markov-functional and multi factor market models,"
Review of Derivatives Research,
Springer, vol. 13(3), pages 245-272, October.
- Pietersz, R. & Pelsser, A.A.J., 2005. "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," ERIM Report Series Research in Management ERS-2005-008-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA.
- Ferdinando Ametrano & Mark Joshi, 2011. "Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 547-558.
- Arslanalp, Serkan & Liao, Yin, 2014. "Banking sector contingent liabilities and sovereign risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 316-330.
- K. F. Pilz & E. Schlögl, 2013. "A hybrid commodity and interest rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 543-560, March.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2004-08-16 (All new papers)
- NEP-FIN-2004-08-16 (Finance)
- NEP-FMK-2004-06-02 (Financial Markets)
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