On Deterministic Shift Extensions of Short Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.292060 ◽

2001 ◽

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Short Rate Models

Download Full-text

A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.304 ◽

2015 ◽

Vol 18 (4) ◽

pp. 129-161 ◽

Author(s):

Radha Krishn Coonjobeharry ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Interest Rate ◽

Integrodifferential Equation ◽

Interest Rate Derivatives ◽

Short Rate Models ◽

Partial Integrodifferential Equation

Download Full-text

Affine Short Rate Models

Seminar on Stochastic Analysis, Random Fields and Applications III ◽

10.1007/978-3-0348-8209-5_9 ◽

2002 ◽

pp. 121-132

Author(s):

D. Filipović

Keyword(s):

Short Rate Models

Download Full-text

Short-Rate Models and Lattice Implementation

Interest Rate Modeling ◽

10.1201/9781351227421-5 ◽

2019 ◽

pp. 119-148

Author(s):

Lixin Wu

Keyword(s):

Lattice Implementation ◽

Short Rate Models

Download Full-text

Short-Rate Models

Interest Rate Swaps and Their Derivatives ◽

10.1002/9781118267967.ch8 ◽

2011 ◽

pp. 149-173

Keyword(s):

Short Rate Models

Download Full-text

Fixed-Income Derivatives I: Short-Rate Models

Handbook of Financial Risk Management ◽

10.1002/9781118573570.ch5 ◽

2013 ◽

pp. 177-216

Keyword(s):

Fixed Income ◽

Fixed Income Derivatives ◽

Short Rate Models

Download Full-text

Two-Factor Short-Rate Models

Springer Finance - Interest Rate Models — Theory and Practice ◽

10.1007/3-540-34604-x_4 ◽

2006 ◽

pp. 137-181

Keyword(s):

Short Rate Models

Download Full-text

Pricing American Interest Rate Options Under the Jump-Extended CIR and CEV Short Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.985839 ◽

2007 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha ◽

Gloria M. Soto

Keyword(s):

Interest Rate ◽

Interest Rate Options ◽

American Interest ◽

Short Rate Models

Download Full-text

Two-Factor Short-Rate Models

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_4 ◽

2001 ◽

pp. 127-171

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Short Rate Models

Download Full-text

Modeling the term structure of interest rates with general short-rate models

Finance and Stochastics ◽

10.1007/s007800200088 ◽

2003 ◽

Vol 7 (3) ◽

pp. 323-335 ◽

Author(s):

Hideyuki Takamizawa ◽

Isao Shoji

Keyword(s):

Interest Rates ◽

Term Structure ◽

Short Rate Models

Download Full-text

Heath-Jarrow-Morton Framework: Immersion of Short-Rate Models and LIBOR Market Model

Mathematical Finance ◽

10.1002/9780470179789.ch24 ◽

2007 ◽

pp. 357-364

Keyword(s):

Market Model ◽

Libor Market Model ◽

Short Rate Models

Download Full-text