| Reference: | Black, F., Derman, E., and Toy, W.: “A One-Factor Model of Interest Rates and its Application to Treasury Bond Options”. Financial Analysis Journal, 33-39, 1990.
Balduzzi, P., S. Das, and S. Foresi, and Rangarajan K. Sundaram: “ Stochastic Mean Models of the Term Structure of Interest Rates” Advanced Fixed Income Tool.
Black, F., and Karasinski, P.: “Bond and Option Pricing When Shorts are Lognormal”. Financial Analysis Journal, 47:52-59, 1991.
Brennan, M.J., and Schwartz, E.S.: An “Equilibrium Model of Bond Pricing and A Test of Market Efficiency. Journal of Financial and Quantitative Analysis, 17:75-100,1982.
Chan, K.C., Karolyi, G.A., Longstaff, F.A., and Sander, A.: “An Empirical Comparison of Alternative Models of the Short-Term Interest Rate”. The Journal of Finance, 47:1209-1227 1992.
Chen, Lin : “ Interest Rates Dynamics, Derivative Pricing , and Risk Management”. Springer 1996.
Courtadon, G.:” The Pricing of Options on Default-free Bonds.” Journal of Financial and Quantitative Analysis.
Cox, J.C., Ingersoll, J.E. and Ross, S.A. : “ A Theory of The Term Structure of Interest Rates” Econometrica, 53:385-407, 1985.
Dothan, L.U.: “ On the Term Structure of Interests Rates “.Journal of Financial Economics, 6:59-69. 1978.
Fong, H.G., and Vasicek , O.A.:” Fixed-Income Volatility Management.” The journal of Portfolio Management, 41-46, 1991.
Gibbons, M.R., and Ramaswamy, K.: “ A test of CIR Model of Term structure”. Review of Financial Studies, 6:619-658, 1993.
Heath, D., Jarrow, R.A. and Morton, A.: “Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation.” Econometrica, 60:77-105, 1992.
Ho, T.S.Y. , and Lee, S.B.,: “ Term Structure Movement and Pricing Interest Rates Contingent Claims. The Journal of Finance, 41:1011-1029, 1986.
Hull, J. and White,A.: ”Pricing Interest Rates Rate Derivatives Securities” The Review of Financial Studies, 3:573-592, 1990.
Hull, J. and White,A.:” Using Hull and White Interest Rates Trees” The Journal of Derivatives 26-36. 1996.
Longstaff, F.A., and Schwartz, E.S.” A Two Factor Interest Rates Model and Contingent Claims Valuation”. The Journal of Fixed Income, 16-23 1992.
Longstaff, F.A., and Schwartz, E.S.” Implementation of the Longstaff–Schwartz Interest Rate Model” The Journal of Fixed Income, 7-14 1992.
Niraj Sinha:” An Empirical Comparison of Three Interest Rate Option Pricing Models BDT, Hull and White and HJM” A Bell and Howell Information Company 1997.
Vasicek, O.: “ An Equilibrium Characterization of the Term Structure” Journal of Financial Economics, 5:177-188, 1977.
Y.K Kwok :Mathematical Models of Financial Derivatives. Springer Finance 1998. |
