The Pricing of Interest Rate Contingent Claims

1998 ◽  
Author(s):  
Claus Anderskov Madsen
Keyword(s):  
Interest Rate ◽  
Contingent Claims

scholarly journals A characterization of hedging portfolios for interest rate contingent claims

2004 ◽  
Vol 14 (3) ◽  
pp. 1267-1294 ◽  
Author(s):  
Rene Carmona ◽  
Michael Tehranchi
Keyword(s):  
Interest Rate ◽  
Contingent Claims

scholarly journals Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem

2011 ◽  
Vol 18 (4) ◽  
pp. 277-289 ◽  
Author(s):  
Ghulam Sorwar ◽  
Giovanni Barone-Adesi
Keyword(s):  
Interest Rate ◽  
Contingent Claims ◽  
Green's Theorem ◽  
Green’S Theorem

Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing

1993 ◽  
Vol 28 (4) ◽  
pp. 483 ◽  
Author(s):  
Bjorn Flesaker
Keyword(s):  
Interest Rate ◽  
Contingent Claims ◽  
Lee Model

A Two-Factor Interest Rate Model And Contingent Claims Valuation

1992 ◽  
Vol 2 (3) ◽  
pp. 16-23 ◽  
Author(s):  
Francis A. Longstaff ◽  
Eduardo S. Schwartz
Keyword(s):  
Interest Rate ◽  
Contingent Claims ◽  
Rate Model ◽  
Interest Rate Model

Valuation of Common Two-Factor Interest Rate Contingent Claims

2004 ◽  
Author(s):  
Ghulam Sorwar
Keyword(s):  
Interest Rate ◽  
Contingent Claims

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

2001 ◽  
Vol 11 (1) ◽  
pp. 117-151 ◽  
Author(s):  
Naoto Kunitomo ◽  
Akihiko Takahashi
Keyword(s):  
Asymptotic Expansion ◽  
Interest Rate ◽  
Contingent Claims

Pricing Contingent Claims under Interest Rate and Asset Price Risk

1989 ◽  
Vol 44 (3) ◽  
pp. 571-589 ◽  
Author(s):  
NAOKI KISHIMOTO
Keyword(s):  
Interest Rate ◽  
Asset Price ◽  
Contingent Claims ◽  
Price Risk
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