Jump-diffusion Processes and the Term Structure of Interest Rates

Jump-diffusion Processes and the Term Structure of Interest Rates
Author :
Publisher :
Total Pages : 54
Release :
ISBN-10 : OCLC:31506328
ISBN-13 :
Rating : 4/5 ( Downloads)

Book Synopsis Jump-diffusion Processes and the Term Structure of Interest Rates by : Chang Mo Ahn

Download or read book Jump-diffusion Processes and the Term Structure of Interest Rates written by Chang Mo Ahn and published by . This book was released on 1986 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:


Jump-diffusion Processes and the Term Structure of Interest Rates Related Books

Jump-diffusion Processes and the Term Structure of Interest Rates
Language: en
Pages: 54
Authors: Chang Mo Ahn
Categories:
Type: BOOK - Published: 1986 - Publisher:

DOWNLOAD EBOOK

Jump-Diffusion Processes and the Bond Markets
Language: en
Pages:
Authors: Sanjiv Ranjan Das
Categories:
Type: BOOK - Published: 2009 - Publisher:

DOWNLOAD EBOOK

This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffus
On the Term Structure of Interbank Interest Rates : Jump-diffusion Processes and Option Pricing
Language: en
Pages: 0
Authors: Manuel Moreno
Categories:
Type: BOOK - Published: 1995 - Publisher:

DOWNLOAD EBOOK

On the Term Structure of Interbank Interest Rates
Language: en
Pages: 35
Authors: Manuel Moreno
Categories: Interest rate futures
Type: BOOK - Published: 1996 - Publisher:

DOWNLOAD EBOOK

On the Term Structure of Interbank Interest Rates
Language: en
Pages:
Authors: Manuel Moreno
Categories:
Type: BOOK - Published: 1998 - Publisher:

DOWNLOAD EBOOK

In this paper we study the dynamic behavior of the term structure of Interbank interest rates and the pricing of options on interest rate sensitive securities.