In this paper, we propose a theoretical continuous-time model to analyze the impact of
liquidity on bond prices. This model prices illiquid bonds relative to liquid bonds and …

Our main goal is to investigate the question of which interest‐rate options valuation models
are better suited to support the management of interest‐rate risk. We use the German market …

The literature on default-claim pricing falls into three categories. Building on the classical
Merton model, the structural approach models the dynamics of the asset value and assumes …

Straight after its invention in the early sixties, the Kalman filter approach became part of the
astronautical guidance system of the Apollo project and therefore received immediate …

In this paper we analyze the credit spread between Italian and German government bonds
after the exchange‐rate agreement in May 1998. We estimate the parameters of two mean …

This paper describes an alternative discretization strategy for mean-reverting models which
permits the use of implicit finite difference methods along lines developed for explicit …

This book covers fundamental concepts in financial markets and asset pricing such as
hedging, arbitrage, speculation in different markets, classical models for pricing of simple …

Closed-form solutions for derivatives pricing problems yield exact prices nearly
instantaneously. But for only a handful of actual derivatives are payoff structures simple …

This article prices caps and swaptions in the Spanish market using the Vasicek, Cox,
Ingersoll, and Ross and Hull and White (HW) models. Derivative prices obtained with the …

Marliese Uhrig-Homburg entwickelt eine neue Theorie der Risikostruktur der Zinssätze, die
neben Überschuldung auch Zahlungsunfähigkeit als eigenständige Insolvenzursache …