Valuation of derivatives based on single-factor interest rate models
Tài liệu tham khảo
Ahn, 2002, Quadratic term structure models: Theory and evidence, Review of Financial Studies, 15, 243, 10.1093/rfs/15.1.243
Barone-Adesi, 1997, A note on the convergence of binomial approximations for interest rate models, Journal of Financial Engineering, 6, 71
Brace, 1997, The market model of interest rate dynamics, Mathematical Finance, 7, 127, 10.1111/1467-9965.00028
Brennan, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis, 15, 907, 10.2307/2330567
Chan, 1992, An empirical comparison of the short-term interest rate, Journal of Finance, 1, 1209, 10.2307/2328983
Courtadon, 1982, The pricing of options on default-free bonds, Journal of Financial and Quantitative Analysis, 17, 75, 10.2307/2330930
Cox, 1980, An analysis of variable rate loan contracts, Journal of Finance, 35, 389, 10.2307/2327398
Cox, 1985, A theory of the term structure of interest rate, Econometrica, 53, 385, 10.2307/1911242
Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 55, 1943, 10.1111/0022-1082.00278
Dai, Qiang, 2003
Dothan, 1978, On the term structure of interest rates, Journal of Financial Economics, 6, 59, 10.1016/0304-405X(78)90020-X
Duffee, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance, 57, 405, 10.1111/1540-6261.00426
Duffie, 1996, A yield-factor model of interest rates, Mathematical Finance, 6, 379, 10.1111/j.1467-9965.1996.tb00123.x
Heath, 1992, Bond pricing and the term structure of the interest rates: A new methodology, Econometrica, 60, 77, 10.2307/2951677
Ho, 1986, Term structure movements and pricing interest rate contingent claims, Journal of Finance, 41, 1011, 10.2307/2328161
Hull, 1993, One-factor interest rate models and the valuation of interest rate derivative securities, Journal of Financial and Quantitative Analysis, 28, 235, 10.2307/2331288
Leippold, 2000, Quadratic term structure models
Leippold, 2002, Asset pricing under the quadratic class, Journal of Financial and Quantitative Analysis, 37, 271, 10.2307/3595006
Leippold, 2003, Estimation and design of quadratic term structure models, Review of Finance, 7, 47, 10.1023/A:1022502724886
Merton, 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science, 4, 141, 10.2307/3003143
Tian, 1992, A simplified binomial approach to the pricing of interest-rate contingent claims, Journal of Financial Engineering, 1, 14
Tian, 1994, A reexamination of lattice procedures for interest rate-contingent claims, Advances in Options and Futures Research, 7, 87
Vasicek, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177, 10.1016/0304-405X(77)90016-2