REFERENCES

D. F. Babbel, and C. Merrill (1996). Valuation of Interest-Sensitive Financial Instruments. Hoboken, NJ: John Wiley &Sons.

R. Baule, and M. Wilkens (2004). Lean trees—A general approach for improving performance of lattice models for option pricing. Review of Derivatives Research 7, 1: 53–72.

F. J. Fabozzi, and G. W. Buetow (2000). Valuation of Interest Rate Options and Swaptions. Hoboken, NJ: John Wiley & Sons.

S. Y. Ho, and S. B. Lee (2003). The Oxford Guide to Financial Modeling Applications for Capital Markets, Corporate Finance, Risk Management and Financial Institutions. New York: Oxford University Press.

J. James, and N. Webber (2000). Interest Rate Modelling. New York: John Wiley & Sons.

B. A. Jensen, and J. A. Nielsen (1991). The structure of binomial lattice models for bonds. Copenhagen Business School and Aarhus University working paper 91.1.

A. J. Kalotay, G. O. Williams, and F. J. Fabozzi (1993). A model for the valuation of bonds and embedded options. Financial Analysts Journal 49, 3: 35–46.

A. Li, P. Ritchken, and L. Sankarasubramanian (1995). Lattice models for pricing American interest rate claims. Journal of Finance 50, 2: 719–737.

S. Peterson, R. C. Stapleton, and M. G. Subrahmanyam (2001). A multi-factor spot-rate model for the pricing of interest-rate derivatives. Journal of Financial and Quantitative Analysis 38, 4: 847–880.

L. Scott (1998). The valuation of interest rate derivatives in a multi-factor term structure model with deterministic components. ...

Get Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.