The Pricing of Interest Rate Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.1482911 ◽

1998 ◽

Author(s):

Claus Anderskov Madsen

Keyword(s):

Interest Rate ◽

Contingent Claims

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A characterization of hedging portfolios for interest rate contingent claims

The Annals of Applied Probability ◽

10.1214/105051604000000297 ◽

2004 ◽

Vol 14 (3) ◽

pp. 1267-1294 ◽

Author(s):

Rene Carmona ◽

Michael Tehranchi

Keyword(s):

Interest Rate ◽

Contingent Claims

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

Applied Mathematical Finance ◽

10.1080/1350486x.2010.531588 ◽

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

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A Note on Monetary Policy with Interest-Rate Contingent Claims as Indicators

SSRN Electronic Journal ◽

10.2139/ssrn.1031930 ◽

1999 ◽

Author(s):

Thierry Roncalli

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Contingent Claims

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Pricing Contingent Claims: First- and Second-Order Effects from Stochastic Interest Rate Development

Contributions to Management Science - Recent Research in Financial Modelling ◽

10.1007/978-3-642-46938-1_12 ◽

1993 ◽

pp. 125-134

Author(s):

Bjarne Astrup Jensen ◽

Jørgen Aase Nielsen

Keyword(s):

Interest Rate ◽

Contingent Claims ◽

Second Order ◽

Stochastic Interest Rate ◽

Order Effects ◽

Stochastic Interest ◽

Second Order Effects ◽

Rate Development

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Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2019.1589514 ◽

2019 ◽

Vol 49 (14) ◽

pp. 3421-3437

Author(s):

Qian Zhao ◽

Peng Li ◽

Jie Zhang

Keyword(s):

Interest Rate ◽

Lévy Processes ◽

Levy Processes ◽

Contingent Claims ◽

Stochastic Interest Rate ◽

Stochastic Interest

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

Journal of Financial and Quantitative Analysis ◽

10.2307/2331161 ◽

1993 ◽

Vol 28 (4) ◽

pp. 483 ◽

Author(s):

Bjorn Flesaker

Keyword(s):

Interest Rate ◽

Contingent Claims ◽

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A Two-Factor Interest Rate Model And Contingent Claims Valuation

The Journal of Fixed Income ◽

10.3905/jfi.1992.408053 ◽

1992 ◽

Vol 2 (3) ◽

pp. 16-23 ◽

Author(s):

Francis A. Longstaff ◽

Eduardo S. Schwartz

Keyword(s):

Interest Rate ◽

Contingent Claims ◽

Interest Rate Model

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Valuation of Common Two-Factor Interest Rate Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.499303 ◽

2004 ◽

Author(s):

Ghulam Sorwar

Keyword(s):

Interest Rate ◽

Contingent Claims

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

Mathematical Finance ◽

10.1111/1467-9965.00110 ◽

2001 ◽

Vol 11 (1) ◽

pp. 117-151 ◽

Author(s):

Naoto Kunitomo ◽

Akihiko Takahashi

Keyword(s):

Asymptotic Expansion ◽

Interest Rate ◽

Contingent Claims

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Pricing Contingent Claims under Interest Rate and Asset Price Risk

The Journal of Finance ◽

10.1111/j.1540-6261.1989.tb04379.x ◽

1989 ◽

Vol 44 (3) ◽

pp. 571-589 ◽

Author(s):

NAOKI KISHIMOTO

Keyword(s):

Interest Rate ◽

Asset Price ◽

Contingent Claims ◽

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