A Simple Induction Approach and an Efficient Trinomial Lattice for Multi-State Variable Interest Rate Derivatives Models

Author： Kramin Marat   Kramin Timur   Young Stephen   Dharan Venkat  

Publisher： Springer Publishing Company

ISSN： 0924-865X

Source： Review of Quantitative Finance and Accounting, Vol.24, Iss.2, 2005-03, pp. : 199-226

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

On the Quasi Gaussian Interest Rate Models

By Akahori Jirô  

Financial Engineering and the Japanese Markets, Vol. 6, Iss. 1, 1999-01 ,pp. : 3-6

Springer Publishing Company

Access to resources Recommend Favorite

Optimal interest rate derivatives portfolio with controlled sensitivities

By Kiriakopoulos Konstantinos  

International Journal of Decision Sciences, Risk and Management, Vol. 2, Iss. 1-2, 2010-08 ,pp. : 112-128

Inderscience Publishers

Access to resources Recommend Favorite

Classes of Interest Rate Models under the HJM Framework

By Chiarella C.  

Financial Engineering and the Japanese Markets, Vol. 8, Iss. 1, 2001-03 ,pp. : 1-22

Springer Publishing Company

Access to resources Recommend Favorite

A model for reliability analysis of multi-state manufacturing systems

By Niknam Seyed Ahmad   Sawhney Rapinder  

International Journal of Quality & Reliability Management, Vol. 31, Iss. 8, 2014-08 ,pp. : 938-949

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Detecting Outliers in Frontier Models: A Simple Approach: Special Issue on Efficiency Analysis: Proceedings of a Research Workshop on the State-of-the-Art and Future Research in Efficiency Analysis

By Simar Léopold  

Journal of Productivity Analysis, Vol. 20, Iss. 3, 2003-11 ,pp. : 391-424

Springer Publishing Company

Access to resources Recommend Favorite