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The valuation of floating-rate instruments

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References

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2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives88 cited
1991A Simple Approach to Interest-Rate Option Pricing

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1993Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages84 cited

1988The Market for Interest Rate Swaps73 cited

2004Bond Pricing with Default Risk69 cited

1990The Valuation and Analysis of Adjustable Rate Mortgages68 cited

1996Default risk and derivative products49 cited

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1997Default Risk and the Effective Duration of Bonds44 cited

2002Pricing Credit Derivatives with Rating Transitions40 cited

2001Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy39 cited

1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives37 cited

1997Swap credit risk: An empirical investigation on transaction data32 cited

1992The Volatility of Short-Term Interest Rates: An Empirical Comparison of Alternative Models of the Term Structure of Interest Rates30 cited

2024The Term Structure of Covered Interest Rate Parity Violations21 cited