Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference29 articles.
1. Jump-diffusion processes and term structure of interest rates;Ahn;Journal of Finance,1988
2. The pricing of foreign currency options under jump-diffusion processes;Ahn;Journal of Futures Market,2007
3. Bond market structure in the presence of market point process;Björk;Mathematical Finance,1997
4. The market model of interest rate dynamics;Brace;Mathematical Finance,1997
5. The jump component of the volatility structure of interest rate futures markets;Chiarella;The Journal of Futures Markets,2003
Cited by 5 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. Discretely Distributed Scheduled Jumps and Interest Rate Derivatives: Pricing in the Context of Central Bank Actions;Economies;2024-03-19
2. Generalized affine transform on pricing quanto range accrual note;The North American Journal of Economics and Finance;2020-11
3. Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices;The North American Journal of Economics and Finance;2020-11
4. Medical decision-making by patients and providers under uncertainty and in the presence of antibiotic resistance;International Review of Economics & Finance;2018-11
5. Medical Decision-Making by Patients and Providers Under Uncertainty and in the Presence of Antibiotic Resistance;SSRN Electronic Journal;2018
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3