Efficient calibration of trinomial trees for one-factor short rate models
M Leippold, Z Wiener - Review of Derivatives Research, 2004 - Springer
In this paper we propose a computationally efficient implementation of general one factor
short rate models with a trinomial tree. We improve the Hull–White's procedure to calibrate …
short rate models with a trinomial tree. We improve the Hull–White's procedure to calibrate …
Extending the universality of the Heath–Jarrow–Morton model
D Grant, G Vora - Review of Financial Economics, 2006 - Elsevier
Heath, Jarrow, and Morton (HJM) developed an important model of the evolution of interest
rates. A key assumption of the model is that interest rate changes are normally distributed in …
rates. A key assumption of the model is that interest rate changes are normally distributed in …
利率服从马尔可夫过程时的期权定价
刘文平， 李萍， 孙志华 - 华中师范大学学报: 自然科学版, 2004 - cqvip.com
利率服从马尔可夫过程时的期权定价-[维普官方网站]-www.cqvip.com-维普网 我的维普 购物车
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[PDF][PDF] On Trinomial Trees for One-Factor Short Rate Models
M Leippold, Z Wiener - 2003 - academia.edu
In this article we discuss the implementation of general one-factor short rate models with a
trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold …
trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold …
[BOOK][B] Le obbligazioni strutturate
F Pampurini - 2010 - u-pad.unimc.it
Il saggio propone, nella prima parte, una descrizione morfologica della classe dei titoli
obbligazionari strutturati presenti sul mercato italiano offrendo altresì un criterio di …
obbligazionari strutturati presenti sul mercato italiano offrendo altresì un criterio di …