L. C. G. Rogers, Which model for term-structure of interest rates should one use ?, In : Mathematical Finance (M.H.A. Davis et al. eds.), SpringerVerlag, New York, 1995, pp. 93-115. 23  Home/Search Document Not in Database Summary Related Articles Check |
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Asymptotically Optimal Importance Sampling and.. - Glasserman, Heidelberger (1999) (9 citations) (Correct)
....of (S t , V t ) this model is far less linear than the constant volatility model. 5.3. CIR Model Our final example is the interest rate model of Cox, Ingersoll, and Ross (1985) dr t = #(a r t ) dt # # r t dW t . 5. 4) 144 GLASSERMAN, HEIDELBERGER, AND SHAHABUDDIN As noted by Rogers (1995), when d # 4a# # 2 is an integer, r t , t # 0 has the same law as #X # 2 , t # 0 , where X t is the d dimensional process defined by dX t = # 2 X t dt # 2 dB t , where B t is a standard d dimensional Wiener process, and the components of X 0 are all equal to # r 0 d . ....
ROGERS, L. C. G. (1995): Which Model for the Term Structure of Interest Rates Should One Use?; in Mathematical Finance, IMA vol. 65, M. H. A. Davis, D. Duffie, and I. Karatzas, eds. New York: Springer, 93--116.
A Filtering Approach to Pricing in Multifactor Term.. - Gombani, Runggaldier (2001) (1 citation) (Correct)
....a(s)ds = 0 (21) from which, differentiating (under an implicit regularity assumption) with respect to T , and noticing that T 0 is arbitrary and can thus be replaced by t, we obtain (4) Remark 2. 2 For c(t) j const and b(t) a(t) 0, our setup, restricted to the short rate, reduces to that in [24] for the case of multi factor models. In fact, we make some progress, since we consider a representation for the forward rates rather than just the short rate, like in [23] where however only the scalar case is being treated. Combining (2) and (3) and applying Ito s rule, with an immediate proof ....
L. C. G. Rogers, Which model for term-structure of interest rates should one use ?, In : Mathematical Finance (M.H.A. Davis et al. eds.), Springer- Verlag, New York, 1995, pp. 93-115. 19
The Market Value and Dynamic Interest Rate Risk of Swaps - Chen, Chaudhury (1996) (Correct)
....of involvements in derivatives (Reed, 1995) Apparently, the VAR of an institution depends on the specific models that are used for valuing the the derivatives. There is no uniform industry standards for such models and the regulators are equally reluctant to impose such standards. 16 See Rogers (1995) for an interesting recent review of the well known term structure models. 18 (Cox, Ingersoll, and Ross (1985) Longstaff and Schwartz (1992) or more factors (Chen and Scott (1995) and thus can be adapted to fit multiple points on the initial term structure using the approach of Hull and ....
Rogers, L.C.G. (1995), Which model for term structure of interest rates should one use?, in Mark Davis, Darrell Duffie, Wendell Fleming, and Steven Shreve, eds.: Mathematical Finance (Springer-Verlag: New York), 93-115.
Asymptotically Optimal Importance Sampling and Stratification.. - Glasserman (1999) (9 citations) (Correct)
....S0 = 50, V0 = 0:09, r = 0:05, 0, ae = 0:5 and n = 32. For 0, C = 500. Results for = 0 correspond to constant volatility. 5. 3 CIR Model Our final example is the interest rate model of Cox, Ingersoll, and Ross [6] dr t = a Gamma r t ) dt oe p r t dW t : 34) As noted by Rogers [29], when d j 4a=oe 2 is an integer, fr t ; t 0g has the same law as fkX t k 2 ; t 0g, where X t is the d dimensional process defined by dX t = Gamma 2 X t dt oe 2 dB t ; where B t is a standard d dimensional Wiener process, and the components of X 0 are all equal to p r 0 =d. ....
Rogers, L.C.G., "Which Model for the Term Structure of Interest Rates Should One Use?" in Mathematical Finance, M.H.A. Davis, D. Duffie, and I. Karatzas, eds., IMA Vol. 65, Springer, New York, 1995, 93-116.
Unknown - Ggf Haae Fg (Correct)
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L. C. G. Rogers, Which model for term-structure of interest rates should one use ?, In : Mathematical Finance (M.H.A. Davis et al. eds.), SpringerVerlag, New York, 1995, pp. 93-115. 23
The Performance of Multi-Factor Term Structure Models.. - Driessen, Klaassen.. (2000) (1 citation) (Correct)
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Rogers, L. (1993), `Which Model for the Term Structure of Interest Rates Should One Use?', In Duffie, D., Karatzas, I. (Eds.), Mathematical Finance, Springer, Berlin.
Some Generalizations of Bessel Processes - Göing (1997) (Correct)
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L.C.G. Rogers, 1995, Which model for term-structure of interest rates should one use?, The IMA Volumes in Mathematics and its Applications, Springer-Verlag New York, Vol. 65, 93--115.
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