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Relevant bibliographies by topics / Interest rate derivative pricing

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Academic literature on the topic 'Interest rate derivative pricing'

Author: Grafiati

Published: 20 February 2023

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Journal articles on the topic "Interest rate derivative pricing"

1

Hosokawa, Satoshi, and Koichi Matsumoto. "Pricing interest rate derivatives with model risk." Journal of Financial Engineering 02, no. 01 (March 2015): 1550003. http://dx.doi.org/10.1142/s2345768615500038.

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This paper studies an interest rate derivative when there is the model risk in an interest rate model. We consider a mean reverting interest rate process whose volatility model is not known. Most of prices of interest rate derivatives cannot be determined uniquely, based on this interest rate model. We study the price bounds of a derivative and propose how to calculate the price bounds by a trinomial model. Further, we analyze the model risk of derivatives and their portfolios numerically.

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2

Hull, John, and Alan White. "Pricing Interest-Rate-Derivative Securities." Review of Financial Studies 3, no. 4 (October 1990): 573–92. http://dx.doi.org/10.1093/rfs/3.4.573.

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Ait-Sahalia, Yacine. "Nonparametric Pricing of Interest Rate Derivative Securities." Econometrica 64, no. 3 (May 1996): 527. http://dx.doi.org/10.2307/2171860.

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4

Davies, Dick, David Hillier, Andrew Marshall, and King Fui Cheah. "Pricing Interest Rate Swaps in Malaysia." Review of Pacific Basin Financial Markets and Policies 07, no. 04 (December 2004): 493–507. http://dx.doi.org/10.1142/s0219091504000251.

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This paper compares the theoretical price of interest rate swaps implied from the yield curve with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian swap market for both semi-annual and annual interest rate swaps between 1996 and 2002. As far as we are aware no previous paper has considered pricing swaps in a less established derivative markets. Our empirical results indicate significant and persistent differences between the theoretical implied price and the actual reset price for both swaps over the sample period. This finding has implications for traders and banks in pricing swaps in Malaysia and more generally for pricing swaps in less established or illiquid markets or where capital controls have been introduced.

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Liu, Yuxuan. "The Pricing of New Interest Rate Derivative Futures." Science Innovation 8, no. 4 (2020): 114. http://dx.doi.org/10.11648/j.si.20200804.16.

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Strickland, Chris. "A comparison of models for pricing interest rate derivative securities." European Journal of Finance 2, no. 3 (September 1996): 261–87. http://dx.doi.org/10.1080/13518479600000008.

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Barbedo, Claudio Henrique, Octávio Bessada Lion, and Jose Valentim Machado Vicente. "Apreçamento de Opções Asiáticas de Taxa de Juros através de um Modelo HJM de Três Fatores." Brazilian Review of Finance 8, no. 1 (April 7, 2010): 9. http://dx.doi.org/10.12660/rbfin.v8n1.2010.1387.

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Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices long-term options traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.

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Di Matteo, T., M. Airoldi, and E. Scalas. "On pricing of interest rate derivatives." Physica A: Statistical Mechanics and its Applications 339, no. 1-2 (August 2004): 189–96. http://dx.doi.org/10.1016/j.physa.2004.03.042.

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BAVIERA, ROBERTO. "BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL." International Journal of Theoretical and Applied Finance 22, no. 05 (August 2019): 1950027. http://dx.doi.org/10.1142/s0219024919500274.

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We propose an elementary model in multi-curve setting that allows to price with simple exact closed formulas European swaptions. Swaptions can be both physical delivery and cash-settled ones. The proposed model is very parsimonious: it is a three-parameter multi-curve extension of the two-parameter J. Hull & A. White (1990) [Pricing interest-rate-derivative securities. Review of Financial Studies 3(4), 573–592] model. The model allows also to obtain simple formulas for all other plain vanilla Interest Rate derivatives and convexity adjustments. Calibration issues are discussed in detail.

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DE GENARO, ALAN, and MARCO AVELLANEDA. "PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES." International Journal of Theoretical and Applied Finance 21, no. 06 (September 2018): 1850037. http://dx.doi.org/10.1142/s0219024918500371.

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The goal of this paper is to develop a reduced-form model for pricing derivatives on the overnight rate. The model incorporates jumps around central bank (CB) meetings. More specifically, rate changes are decomposed into fluctuations between CB meetings and deterministic timed jumps following CB meetings. This approach is useful for practitioners, since it allows the extraction of expectations regarding central bank decisions embedded in liquid instruments, as well as the use of these expectations for the pricing of less liquid derivatives, such as options, in a consistent manner. We discuss applications to 30-Day Fed funds options and IDI options traded in Brazil.

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Dissertations / Theses on the topic "Interest rate derivative pricing"

1

Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.

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2

Pang, Kin. "Calibration of interest rate term structure and derivative pricing models." Thesis, University of Warwick, 1997. http://wrap.warwick.ac.uk/36270/.

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We argue interest rate derivative pricing models are misspecified so that when they are fitted to historical data they do not produce prices consistently with the market. Interest rate models have to be calibrated to prices to ensure consistency. There are few published works on calibration to derivatives prices and we make this the focus of our thesis. We show how short rate models can be calibrated to derivatives prices accurately with a second time dependent parameter. We analyse the misspecification of the fitted models and their implications for other models. We examine the Duffle and Kan Affine Yield Model, a class of short rate models, that appears to allow easier calibration. We show that, in fact, a direct calibration of Duffle and Kan Affine Yield Models is exceedingly difficult. We show the non-negative subclass is equivalent to generalised Cox, Ingersoll and Ross models that facilitate an indirect calibration of nonnegative Duffle and Kan Affine Yield Models. We examine calibration of Heath, Jarrow and Morton models. We show, using some experiments, Heath, Jarrow and Morton models cannot be calibrated quickly to be of practical use unless we restrict to special subclasses. We introduce the Martingale Variance Technique for improving the accuracy of Monte Carlo simulations. We examine calibration of Gaussian Heath Jarrow and Morton models. We provide a new non-parametric calibration using the Gaussian Random Field Model of Kennedy as an intermediate step. We derive new approximate swaption pricing formulae for the calibration. We examine how to price resettable caps and floors with the market- Libor model. We derive a new relationship between resettable caplets and floorlets prices. We provide accurate approximations for the prices. We provide practical approximations to price resettable caplets and floorlets directly from quotes on standard caps and floors. We examine how to calibrate the market-Libor model.

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Twarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.

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Pietersz, Raoul. "Pricing Models for Bermudan-Style Interest Rate Derivatives." [Rotterdam]: Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam ; Rotterdam : Erasmus University Rotterdam [Host], 2005. http://hdl.handle.net/1765/7122.

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Bouziane, Markus. "Pricing interest rate derivatives a fourier transform based approach." Berlin Heidelberg Springer, 2007. http://d-nb.info/989148165/34.

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Nohrouzian, Hossein. "An Introduction to Modern Pricing of Interest Rate Derivatives." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415.

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This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rate models (term-structure models), pricing of bonds and interest rate derivatives, using both equilibrium and no-arbitrage approaches are discussed, compared and contrasted. Further, we look at the HJM framework and the LMM model to evaluate and simulate forward curves and find the forward rates as the discount factors. Finally, the new framework (after financial crisis in 2008), under the collateral agreement (CSA) has been taken into consideration.

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Nyamai, Dayton. "Pricing of Interest Rate Derivatives under the Cheyette model." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-421201.

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Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.

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Wu, Andrew Man Kit. "Efficient lattice methods for pricing interest rate options and other derivative securities under stochastic volatility." Thesis, University of Strathclyde, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248776.

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Mutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.

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This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.

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Books on the topic "Interest rate derivative pricing"

1

Aït-Sahalia, Yacine. Nonparametric pricing of interest rate derivative securities. Cambridge, MA: National Bureau of Economic Research, 1995.

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2

Bouziane, Markus. Pricing Interest-Rate Derivatives. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008. http://dx.doi.org/10.1007/978-3-540-77066-4.

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3

Interest rate dynamics, derivatives pricing, and risk management. Berlin: Springer, 1996.

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4

Pricing interest-rate derivatives: A Fourier-transform based approach. Berlin: Springer, 2008.

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5

Erni, Marcel. Derivative Swiss franc interest rate instruments: Pricing, market structure, market potential. Bern: P. Haupt, 1992.

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6

Pietersz, Raoul. Pricing Models for Bermudan-Style Interest Rate Derivatives. [Rotterdam]: Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam: Erasmus University Rotterdam [Host], 2005.

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7

Chen, Lin. Interest Rate Dynamics, Derivatives Pricing, and Risk Management. Berlin, Heidelberg: Springer Berlin Heidelberg, 1996. http://dx.doi.org/10.1007/978-3-642-46825-4.

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8

Nielsen, Lars Tyge. Exchange rate and term structure dynamics and the pricing of derivative securities. Fontainebleau: INSEAD, 1992.

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9

Modern pricing of interest-rate derivatives: The LIBOR market model and beyond. Princeton, N.J: Princeton University Press, 2002.

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10

1965-, Jouini E., Cvitanić J. 1962-, and Musiela Marek 1950-, eds. Option pricing, interest rates and risk management. Cambridge: Cambridge University Press, 2001.

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Book chapters on the topic "Interest rate derivative pricing"

1

Campolieti, Giuseppe, and Roman N. Makarov. "Interest-Rate Modelling and Derivative Pricing." In Financial Mathematics, 331–70. Boca Raton: Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9780429468889-6.

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2

Chen, Lin. "Pricing Interest Rate Derivatives." In Lecture Notes in Economics and Mathematical Systems, 37–60. Berlin, Heidelberg: Springer Berlin Heidelberg, 1996. http://dx.doi.org/10.1007/978-3-642-46825-4_2.

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3

Kienitz, Jörg. "Clearing, Collateral, Pricing." In Interest Rate Derivatives Explained, 7–23. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137360076_2.

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Privault, Nicolas. "Pricing of Interest Rate Derivatives." In Introduction to Stochastic Finance with Market Examples, 543–64. 2nd ed. Boca Raton: Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003298670-19.

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5

Rowlands, Tim. "Interest Rate Option Pricing Models." In Risk Management and Financial Derivatives, 275–87. London: Palgrave Macmillan UK, 1997. http://dx.doi.org/10.1007/978-1-349-14605-5_6.

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6

Cowell, Frances. "Appendix 1: Pricing Interest Rate Securities." In Practical Quantitative Investment Management with Derivatives, 403–6. London: Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230501874_22.

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Brigo, Damiano, and Fabio Mercurio. "Pricing Equity Derivatives under Stochastic Rates." In Interest Rate Models Theory and Practice, 453–65. Berlin, Heidelberg: Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/978-3-662-04553-4_12.

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Kienitz, Jörg, and Peter Caspers. "A Gaussian Rates-Credit Pricing Framework." In Interest Rate Derivatives Explained: Volume 2, 175–81. London: Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-137-36019-9_10.

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Li, Haitao. "Interest Rate Derivatives Pricing with Volatility Smile." In Handbook of Computational Finance, 143–201. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-17254-0_7.

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Brigo, Damiano, and Fabio Mercurio. "Pricing Derivatives on Two Interest-Rate Curves." In Interest Rate Models Theory and Practice, 421–51. Berlin, Heidelberg: Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/978-3-662-04553-4_11.

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Conference papers on the topic "Interest rate derivative pricing"

1

Sabbioni, Luca, Marcello Restelli, and Andrea Prampolini. "Fast direct calibration of interest rate derivatives pricing models." In ICAIF '20: ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3383455.3422534.

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Duy Minh Dang. "Pricing of cross-currency interest rate derivatives on Graphics Processing Units." In Distributed Processing, Workshops and Phd Forum (IPDPSW 2010). IEEE, 2010. http://dx.doi.org/10.1109/ipdpsw.2010.5470708.

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Baczynski, Jack, Juan B. R. Otazu, and Jose V. M. Vicente. "A new method for pricing interest-rate derivatives in fixed income markets." In 2017 IEEE 56th Annual Conference on Decision and Control (CDC). IEEE, 2017. http://dx.doi.org/10.1109/cdc.2017.8264105.

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Christara, Christina C., Duy Minh Dang, Kenneth R. Jackson, Asif Lakhany, Theodore E. Simos, George Psihoyios, and Ch Tsitouras. "A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives with Target Redemption Features." In ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010. AIP, 2010. http://dx.doi.org/10.1063/1.3498467.

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Silva, Allan Jonathan da, Jack Baczynski, and José V. M. Vicente. "Modified implicit method embedded in a two-dimensional space for pricing brazilian interest rate derivatives." In XXXV CNMAC - Congresso Nacional de Matemática Aplicada e Computacional. SBMAC, 2015. http://dx.doi.org/10.5540/03.2015.003.01.0149.

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Kombarov, Sayan. "Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics." In International Conference on Eurasian Economies. Eurasian Economists Association, 2021. http://dx.doi.org/10.36880/c13.02498.

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The thesis of this paper is mathematical formulation of the laws of Economics with application of the principle of Least Action of classical mechanics. This paper is proposed as the rigorous mathematical approach to Economics provided by the fundamental principle of the physical science – the Principle of Least Action. This approach introduces the principle of Action into main-stream economics and allows reconcile main principles Austrian School of Economics and the laws of market, such Say’s law and marginal value and interest rate theory, with the modern results of mathematical economics, such as Capital Asset Pricing Model (CAPM), game theory and behavioral economics. This principle is well known in classical mechanics as the law of conservation of action that governs any system as a whole and all its components. It led to the revolution in physics, as it allows to derive the laws of Newtonian and quantum mechanics and probability. Ludwig von Mises defined Economics is the science of Human Action. Action is introduced into Economics by the founder of Austrian School of Economic, Carl Menger. Production or acquisition of any goods, services and assets are results of purposeful acts in the form of expenditure of work and energy in the form of flow of money and material resources. Humans take them to achieve certain desired goals with given resources and time. Any economic good and service, financial, productive, or real estate asset is the result of such action.

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Soleymani, Fazlollah. "Option pricing under a financial model with stochastic interest rate." In SECOND INTERNATIONAL CONFERENCE OF MATHEMATICS (SICME2019). Author(s), 2019. http://dx.doi.org/10.1063/1.5097822.

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Zhou, Li. "Designing and Pricing Stock Income Associated Float Interest Rate Insurance Bonds." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2241.

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Jia, N. N., H. Yang, and J. B. Yang. "Actuarial Pricing Models of Reverse Mortgage with the Stochastic Interest Rate." In 2015 International Conference on Economics, Social Science, Arts, Education and Management Engineering. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/essaeme-15.2015.137.

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Lee, Meng-Yu, Fang-Bo Yeh, and An-Pin Chen. "The Sequential Compound Option Pricing with Random Interest Rate and Application to Project Valuation." In 9th Joint Conference on Information Sciences. Paris, France: Atlantis Press, 2006. http://dx.doi.org/10.2991/jcis.2006.98.

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Reports on the topic "Interest rate derivative pricing"

1

Ait-Sahalia, Yacine. Nonparametric Pricing of Interest Rate Derivative Securities. Cambridge, MA: National Bureau of Economic Research, November 1995. http://dx.doi.org/10.3386/w5345.

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2

Trolle, Anders, and Eduardo Schwartz. A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives. Cambridge, MA: National Bureau of Economic Research, June 2006. http://dx.doi.org/10.3386/w12337.

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Obstfeld, Maurice. Pricing-to-Market, the Interest-Rate Rule, and the Exchange Rate. Cambridge, MA: National Bureau of Economic Research, November 2006. http://dx.doi.org/10.3386/w12699.

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