A multi-quality model of interest rates
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Publication:3623404
DOI10.1080/14697680802624963zbMath1158.91353OpenAlexW2039402606MaRDI QIDQ3623404
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Publication date: 20 April 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802624963
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Cites Work
- A tractable yield-curve model that guarantees positive interest rates
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- A positive interest rate model with sticky barrier
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- A Simplex Method for Function Minimization
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