A Two-Factor Model for Low Interest Rate Regimes

Andersen, L. and Andreasen, J. (2000) Volatility skews and extensions of the Libor market model, Appl. Math. Finance 7, 1–32.

Black, F. (1976) The pricing of commodity contracts, J. Financ. Econ. 3, 167–179.

Black, F. (1995) Interest rates as options, J. Finance 1(7), 1371–1376.

Black, F. and Karasinski, P. (1991) Bond and option pricing when short rates are lognormal, Financ. Anal. J. 47, 52–59.

Brigo, D. and Mercurio, F. (2001a) A deterministic-shift extension of analytically-tractable and time-homogenous short-rate models, Finance Stoch. 5, 369–387.

Brigo, D. and Mercurio, F. (2001b) Interest Rate Models –Theory and Practice, Springer Finance.

Cox, J. C., Ingersoll, J. E. and Ross, S. A. (1985) A theory of the term structure of interest rates, Econometrica 53, 385–407.

Duffie, D. (2001) Dynamic Asset Pricing Theory, 3rd edn., Princeton University Press.

Goldstein, R. and Keirstead, W. (1997) On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries, Working Paper, Ohio State University.

Gorovoi, V. and Linetsky, V. (2001) Black’s model of interest rates as options, eigenfunction expansions and Japanese interest rates, Math. Finance 14(1), 49–78.

Heath, D. and Platen, E. (2004) Understanding the Implied Volatility Surface for Options on a Diversified Index, QFRC Research Paper 128, University of Technology, Sydney.

Hull, J. C. and White, A. (1990) Pricing interest rate derivative securities, Rev. Financ. Stud. 3, 573–592.

Hull, J. C. and White, A. (1993) One-factor interest rate models and the valuation of interest rate derivative securities, J. Financ. Quant. Anal. 28, 235–254.

Hull, J. C. and White, A. (1994) Numerical procedures for implementing term structure models. I. Single factor models, J. Derivatives 2, 7–16.

James, J. and Webber, N. J. (2000) Interest Rate Modelling, Wiley Series in Financial Engineering, John Wiley and Sons.

Jamshidian, F. (1995) A simple class of square-root interest rate models, Appl. Math. Finance 2, 61–72.

Karatzas, I. and Shreve, S. (1991) Brownian Motion and Stochastic Calculus, 2nd edn., Springer-Verlag.

Karatzas, I. and Shreve, S. (1998) Methods of Mathematical Finance, Springer-Verlag.

Kugler, P. and Rich, G. (2002) Monetary policy under low interest rates: The experience of Switzerland in the late 1970s, Schweiz. Z. Volkswirtsch. Stat. 138, 241–269.

Long, D. (2001) Interest-rate skews and smiles. I. The market, Derivatives Week 10(7).

Long, J. B. (1990) The numeraire portfolio, J. Financ. Econ. 26, 29–69.

Marumo, K., Nakayama, T., Nishioka, S. and Yosida, Y. (2003) A Term Structure Model of Interest Rates Under the Zero Interest Rate Policy, Financial Markets Department Working Paper Series, Bank of Japan.

Platen, E. (2002) Arbitrage in continuous complete markets, Adv. Appl. Prob. 34(3), 540–558.

Platen, E. (2003) An Alternative Interest Rate Term Structure Model, QFRG Research Paper 97, University of Technology, Sydney.

Platen, E. (2004) Modeling the volatility and expected value of a diversified world index, Int. J. Theor. Appl. Finance 7(4), 511–529.

Rebonato, R. (1998) Interest-Rate Option Models, 2nd edn., Wiley Series in Financial Engineering, John Wiley and Sons.

Revuz, D. and Yor, M. (1999) Continuous Martingales and Brownian Motion, 3rd edn., Springer-Verlag.

Rogers, L. C. G. (1995) Which model for term-structure of interest rates should one use? In M. H. A. Davis, D. Duffie, W. Fleming, and S. Shreve (eds.), Proceedings of IMA Workshop on Mathematical Finance, Springer-Verlag, Vol. 65, pp. 93–116.

Rogers, L. C. G. (1996) Gaussian errors, Risk 9(1), 42–45.

Shiratsuka, S. and Fujiki, H. (2002) Policy duration effect under the zero interest rate policy in 1999–2000: Evidence from Japan’s monetary market data, Monet. Econ. Stud. 20(1), 1–31.

Van Deventer, D. R. and Imai, K. (1997) Financial Risk Analytics, Irwin Professional Publishing.

Vasicek, O. A. (1977) An equilibrium characterization of the term structure, J. Financ. Econ. 5, 177–188.