Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

Author:

MILTERSEN KRISTIAN R.,SANDMANN KLAUS,SONDERMANN DIETER

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference33 articles.

1. Brace , Alan Dariusz Gatarek Marek Musiela. 1995 The market model of interest rate dynamics Mathematical Finance , Forthcoming

2. Brace , Alan Marek Musiela. 1994 A multifactor Gauss Markov implementation of Heath Jarrow, Morton, Working paper, University of New South Wales, Sydney, Australia

3. The pricing of default-free interest rate cap, floor, and collar agreements;Briys;The Journal of Finance,1991

4. Duffie , James Darrell 1994 Forward rate curves with default risk Working paper, Stanford University, Stanford, California

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