The Co-initial Swap Market Model-Reference-Cited by-同舟云学术

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The Co-initial Swap Market Model

Published:2004-07 Issue:2 Volume:33 Page:209-232
ISSN:0391-5026
Container-title:Economic Notes
language:en
Short-container-title:Economic Notes

Author:

Galluccio Stefano,Hunter Christopher

Publisher

Wiley

Subject

Economics and Econometrics

Reference12 articles.

1. Interest Rate Models Theory and Practice

2. The Market Model of Interest Rate Dynamics

3. S. Galluccio, and C. Hunter, 1997 , "Single and Multi-currency Co-initial Swap Market Models", in preparation .

4. Monte Carlo Methods in Financial Engineering

Cited by 11 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. Valuation of callable range accrual linked to CMS Spread under generalized swap market model;International Review of Financial Analysis;2023-11

2. Valuation of Callable Range Accrual Linked to CMS Spread Under Generalized Swap Market Model;2023

3. CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK;International Journal of Theoretical and Applied Finance;2012-11

4. Fast delta computations in the swap-rate market model;Journal of Economic Dynamics and Control;2011-05

5. FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS;International Journal of Theoretical and Applied Finance;2010-09

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