Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model-Reference-Cited by-同舟云学术

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Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Published:1999 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Knight John L.,Li Fuchun,Yuan Mingwei

Publisher

Elsevier BV

Reference32 articles.

1. Nonparametric pricing of interest rate derivative securities;Y A T-Sahalia;Econometrica,1996

2. The Equilibrium Yield Curve for Government Securities;H R Ayres;Finance Analysts Journal MayyJune,1979

3. The Central Tendency: A Second Factor in Bond Yields;P Balduzzi;The Review of Economics and Statistics,1998

4. The Pricing of Options and Corporate Liabilities;F Black;Journal of Political Economy,1973

5. Monte Carlo Methods for Security Pricing;P Boyle;Journal of Economics Dynamics and Control,1997

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1. The non-linear dynamics of spot freight rates in tanker markets;Transportation Research Part E: Logistics and Transportation Review;2006-05

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