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Hull–White model
Results: 34

#	Item
11	Modeling Long Term Interest Rates of Japanese Yen : The LG Model ∗ Masaaki Kijima† and Keiichi Tanaka‡ Add to Reading List Source URL: www.mof.go.jp Language: English - Date: 2014-03-24 05:38:41 Finance Fixed income analysis Interest rates Forward measure Martingale theory Yield curve Swap rate T-carrier Hull–White model Financial economics Mathematical finance Economics
12	On the pricing of Bermudan swaptions with an application to limited observed market data Mattias Jansson Royal Institute of Technology Add to Reading List Source URL: www.algorithmica.se Language: English - Date: 2005-04-19 06:48:00 Finance Fixed income analysis Economics Swaption Pricing Ho–Lee model Black–Karasinski model Hull–White model Financial economics Mathematical finance Options
13	NBER WORKING PAPER SERIES THE AFFINE ARBITRAGE-FREE CLASS OF NELSON-SIEGEL TERM STRUCTURE MODELS Jens H. E. Christensen Francis X. Diebold Add to Reading List Source URL: www.nber.org Language: English - Date: 2007-11-26 12:54:40 Eigenvalues and eigenvectors Linear algebra Matrix theory Singular value decomposition Yield curve Hull–White model Algebra Mathematics Abstract algebra
14	The Future is Convex Peter J¨ackel Atsushi Kawai First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2005-03-06 13:43:33 Economics LIBOR market model Heath–Jarrow–Morton framework Hull–White model Short-rate model Log-normal distribution Futures contract Normal distribution Yield curve Mathematical finance Financial economics Finance
15	Mind the cap Peter J¨ackel∗ First version: Last update: 2003 Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2004-10-10 07:03:14 Economics Interest rate cap and floor LIBOR market model Heath–Jarrow–Morton framework Log-normal distribution Normal distribution Hull–White model Volatility smile Interest rate derivative Mathematical finance Financial economics Finance
16	Semi-analytic valuation of credit linked swaps in a Black-Karasinski framework ¨ Peter Jackel Quant Congress Europe Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2009-05-19 13:11:19 Mathematical finance Interest rates Fixed income analysis Hull–White model Interest rate swap Black–Karasinski model Swaption Swap Yield curve Financial economics Finance Economics
17	Affine Lattice Models 1 Claudio Albanese Department of Mathematics, Imperial College of Science and Technology, University of London, SW7 2AZ, London, United Kingdom. mailto:[removed] Alexey Kuznet Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:15 Fixed income analysis Hull–White model Mathematical finance Ornstein–Uhlenbeck process Statistics Stochastic differential equations Financial economics
18	A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS CLAUDIO ALBANESE AND MANLIO TROVATO Abstract. It is widely recognized that fixed income exotics should be priced by means of a stochastic volatil Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:17 Investment Volatility smile Implied volatility Swaption Volatility Hull–White model Local volatility Interest rate derivative Stochastic volatility Mathematical finance Financial economics Finance
19	E U RO P E A N C E N T R A L B A N K Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2003-11-28 10:19:54 Economics Stochastic volatility Yield curve Volatility Economic model Binomial options pricing model Hull–White model Vasicek model Mathematical finance Financial economics Finance
20	Pricing a class of exotic commodity options in a multi-factor jump-diffusion model JOHN CROSBY Lloyds TSB Financial Markets, Faryners House, 25 Monument Street, London EC3R 8BQ Email address: [removed] 28th Mar Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:50 Options Mathematical finance Futures contract Commodity market Forward contract Commodity Call option Benchmark Hull–White model Financial economics Finance Business