FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS

Publisher： John Wiley & Sons Inc

E-ISSN： 1467-9965|26|4|962-982

ISSN： 0960-1627

Source： MATHEMATICAL FINANCE, Vol.26, Iss.4, 2016-10, pp. : 962-982

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

Rational term structure models with geometric Lévy martingales

By Brody Dorje C.   Hughston Lane P.   Mackie Ewan  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 84, Iss. 5-6, 2012-10 ,pp. : 719-740

Taylor & Francis Ltd

Access to resources Recommend Favorite

Term Structure Models with Parallel and Proportional Shifts

By Armerin Fredrik   Jensen Bjarne Astrup   Björk Tomas  

Applied Mathematical Finance, Vol. 14, Iss. 3, 2007-07 ,pp. : 243-260

Routledge Ltd

Access to resources Recommend Favorite

Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models

By Kwon Oh Kang  

Applied Mathematical Finance, Vol. 14, Iss. 4, 2007-09 ,pp. : 291-302

Routledge Ltd

Access to resources Recommend Favorite

Energy futures prices: term structure models with Kalman filter estimation

By Manoliu Mihaela   Tompaidis Stathis  

Applied Mathematical Finance, Vol. 9, Iss. 1, 2002-03 ,pp. : 21-43

Routledge Ltd

Access to resources Recommend Favorite

The numerical evaluation of the error term in Gaussian quadrature rules

By Smith H. V.  

International Journal of Mathematical Education in Science and Technology, Vol. 37, Iss. 2, 2006-03 ,pp. : 201-205

Taylor & Francis Ltd

Access to resources Recommend Favorite