Valuation of sinking-fund bonds in the Vasicek and CIR frameworks∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.

DOI10.1080/13504869600000013zbMath1097.91515OpenAlexW2058443984MaRDI QIDQ4541533

Anna Rita Bacinello, Fulvio Ortu, Patrizia Stucchi

Publication date: 4 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504869600000013

Mathematics Subject Classification ID

Related Items

Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates, An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions

Cites Work

• Term structure of interest rates: The martingale approach
• 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
• An equilibrium characterization of the term structure