The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
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Cited by:
- Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003.
"Getting the Most Out of a Mandatory Subordinated Debt Requirement,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.
- Rong Fan & Joseph G. Haubrich & Peter H. Ritchken & James B. Thomson, 2002. "Getting the most out of a mandatory subordinated debt requirement," Working Papers (Old Series) 0214, Federal Reserve Bank of Cleveland.
- Rong Fan & Joseph G. Haubrich & Peter H. Ritchken & James B. Thomson, 2003. "Getting the most out of mandatory subordinated debt requirement," Proceedings 848, Federal Reserve Bank of Chicago.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Kabir K. Dutta & David F. Babbel, 2005.
"Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions,"
The Journal of Business, University of Chicago Press, vol. 78(3), pages 841-870, May.
- Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Peter Weigel, 2005. "Implied Kernel Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 575-601.
- Longstaff, Francis A & Santa-Clara, Pedro & Schwartz, Eduardo S, 2000. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence," University of California at Los Angeles, Anderson Graduate School of Management qt65f1914p, Anderson Graduate School of Management, UCLA.
- Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
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