MultiFactor Valuation of Floating Range Notes

DOI10.1111/j.0960-1627.2004.00182.xzbMath1097.91047OpenAlexW3126034014MaRDI QIDQ4464014

João Pedro Vidal Nunes

Publication date: 27 May 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00182.x

Mathematics Subject Classification ID

Related Items (6)

PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS ⋮ Pricing longevity derivatives via Fourier transforms ⋮ Pricing of range accrual swap in the quantum finance Libor market model ⋮ Pricing range notes within Wishart affine models ⋮ VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS ⋮ VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Computation of the Bivariate Normal Integral
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