✦ LIBER ✦

A multicurrency extension of the lognormal interest rate Market Models

✍ Scribed by Erik Schlögl

Book ID: 106235898
Publisher: Springer-Verlag
Year: 2002
Tongue: English
Weight: 191 KB
Volume: 6
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800100054

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The Market Model of Interest Rate Dynami

The Market Model of Interest Rate Dynamics

✍ Alan Brace; Dariusz G¸atarek; Marek Musiela 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 212 KB

A Note on the Stability of Lognormal Int

A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures

✍ Klaus Sandmann; Dieter Sondermann 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 77 KB

Extensions of the Ho and Lee interest-ra

Extensions of the Ho and Lee interest-rate model to the multinomial case

✍ Jozsef Abaffy; Marida Bertocchi; Adriana Gnudi 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 351 KB

A Gaussian approach for continuous time

A Gaussian approach for continuous time models of the short-term interest rate

✍ Jun Yu; Peter C. B. Phillips 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 130 KB

A numerical method to price European der

A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates

✍ Luca Vincenzo Ballestra; Graziella Pacelli; Francesco Zirilli 📂 Article 📅 2008 🏛 Elsevier 🌐 English ⚖ 562 KB

A joint model for the term structure of

A joint model for the term structure of interest rates and the macroeconomy

✍ Hans Dewachter; Marco Lyrio; Konstantijn Maes 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 334 KB 👁 2 views

## Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield cu