The Term Structure of Simple Forward Rates with Jump Risk-Reference-Cited by-同舟云学术

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The Term Structure of Simple Forward Rates with Jump Risk

Published:2000 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Glasserman Paul,Kou Steven G.

Publisher

Elsevier BV

Reference52 articles.

1. Jump-Diffusion Processes and the Term Structure of Interest Rates;C M Ahn;Journal of Finance,1988

2. Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements;V Akgiray;Review of Economics and Statistics,1988

3. Volatility Skews and Extensions of the Libor Market Model;L Andersen;Applied Mathematical Finance,1999

Cited by 16 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. References;Dynamic Term Structure Modeling;2015-09-19

2. Implied Dynamics in the SV-LMM Framework;Springer Finance;2014

3. Bibliography;Volatility and Correlation;2013-04-15

4. References;The LIBOR Market Model in Practice;2013-04-15

5. The LIBOR/SABR Market Models: A Critical Review;SSRN Electronic Journal;2009

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