A Unified Willow Tree Framework for One-Factor Short-Rate Models

The Journal of Derivatives ◽

10.3905/jod.2018.1.064 ◽

2018 ◽

Vol 25 (3) ◽

pp. 33-54 ◽

Author(s):

Guangguang Wang ◽

Wei Xu

Keyword(s):

Short Rate Models ◽

Download Full-text

A Unified Willow Tree Framework for One-Factor Short-Rate Models

The Journal of Derivatives ◽

10.3905/jod.2018.25.3.033 ◽

2018 ◽

Vol 25 (3) ◽

pp. 33-54

Author(s):

Guangguang Wang ◽

Wei Xu

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

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

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

I SMOKE MY LAST CIGARETTE WHILE ANDRÉS MONTOYA PREACHES TO THE WILLOW TREE

Teeth Never Sleep ◽

10.2307/j.ctv4g1rch.51 ◽

2018 ◽

pp. 79-80

Keyword(s):

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

Mi-kaeri Yanagi (Gazing back Willow-tree)

Nightless City Of Geisha ◽

10.4324/9780203039564-6 ◽

2012 ◽

pp. 44-46

Keyword(s):

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