[BOOK][B] Real options valuation: the importance of interest rate modelling in theory and practice

M Schulmerich - 2010 - books.google.com
After the? rst edition of this book was published in early 2005, the world has changed
dramatically and at a pace never seen before. The changes that-curred in 2008 and 2009 …

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

R Jagannathan, A Kaplin, S Sun - Journal of Econometrics, 2003 - Elsevier
We evaluate the classical Cox et al.(Econometrica 53 (2)(1985) 385)(CIR) model using data
on London Interbank Offer Rate (LIBOR), swap rates and caps and swaptions. With three …

[BOOK][B] Derivative Finanzmarktinstrumente: Eine anwendungsbezogene Einführung in Märkte, Strategien und Bewertung

B Rudolph, K Schäfer - 2010 - books.google.com
Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

Dynamic models of the term structure

H Yan - Financial Analysts Journal, 2001 - Taylor & Francis
In the past 25 years, tremendous progress has been made in modeling the dynamics of the
term structure of interest rates, which play an instrumental role in determining prices and …

[BOOK][B] Derivative Finanzmarktinstrumente: Eine anwendungsbezogene Einführung in Märkte, Strategien und Bewertung

B Rudolph, K Schäfer - 2006 - books.google.com
Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

[BOOK][B] Zinsen, Anleihen, Kredite

P Gantenbein, K Spremann - 2014 - books.google.com
Dieses Buch behandelt die Geld-und Kapitalmärkte sowie das Management von
Rentenportfolios unter Beachtung der Risiken, zu denen neben dem Zinsänderungsrisiko …

Adjusting the binomial model for default risk

JD Finnerty - Journal of Portfolio Management, 1999 - search.proquest.com
The arbitrage-free binomial model has been applied to value bonds with embedded options.
This article extends the binomial model to incorporate the risk of payment default. The basic …

Computing yields on enhanced CDs

R Brooks - Financial services review, 1996 - Elsevier
In this paper, we seek to provide a framework for comparing certificates of deposit (CD)
products that vary in their features. There are now fixed-rate CDs with no early withdrawal …

Value at risk of a bank's balance sheet

T Ho, M Abbott, A Abrahamson - International Journal of Theoretical …, 1999 - World Scientific
Through the application of a VaR analysis to the balance sheet of a hypothetical bank this
paper will address several issues important to bank managers. We will establish which …

[BOOK][B] Arbitragefreie Bewertung von Zinsderivaten

F Heitmann - 2013 - books.google.com
Page 1 Heitmann Arbitragefreie Bewertung von Zinsderivaten Page 2 GABLER EDITION
WISSENSCHAFT Page 3 Frank Heitmann Arbitragefreie Bewertung von Zinsderivaten Mit …