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ArticleInterest rate term structure modelling

Wolfgang M. Schmidt2011

Article2011

Interest rate term structure modelling

Wolfgang M. Schmidt

21 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

1977An equilibrium characterization of the term structure 2016Numerical solution of stochastic differential equations 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1991Common Factors Affecting Bond Returns 1998Arbitrage Theory in Continuous Time 1997The Market Model of Interest Rate Dynamics 2004Stochastic Calculus for Finance II: Continuous-Time Models 1995Changes of numéraire, changes of probability measure and option pricing

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2015Stochastic string models with continuous semimartingales

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2004Pricing and hedging interest rate options: Evidence from cap–floor marketsarticle · 9 shared references 2004A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICINGarticle · 7 shared references 2004Review Paper. Interest–rate term–structure pricing models: a reviewarticle · 7 shared references 2001Dynamic Models of the Term Structurearticle · 7 shared references 2003Term-Structure Models: a Reviewarticle · 7 shared references 2002Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Marketspreprint · 7 shared references

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Year2011

Typearticle

Published2011-01-26

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2011.01.033

openalex_workW2095424210

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