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Модели равновесия
Сох J. С., Ingersoll J. Е. and Ross S. A. A Theory of the Term Structure of Interest Rate // Econometrica, 53 (1985). – R 385-4C7.
Longstaff F. A. and Schwartz E. S. Interest Rate Volatility and the Term Structure: A Two Factor General Equilibrium Model // Journal of Finance, 47, no. 4 (September 1992). – P. 1259-1282.
Vasicek O. A. An Equilibrium Characterization of the Term Structure // Journal of Financial Economics, 5 (1977). – P. 177-188.
Безарбитражные модели
Black F. and Karasinski P. Bond and Option Pricing with Short Rates Are Lognormal // Financial Analysis Journal, July/August 1991. – P. 52-59.
Ho T.S.Y. and Lee S.-B. Term Structure Movements and Pricing Interest Rate Claims // Journal of Finance, 41 (December 1986). – P. 1011-1029.
Hull J. and White A. Bond Option Pricing on a Model for the Evolution of Bond Prices // Advances in Futures and Options Research, 6 (1993). – P. 1-13.
Hull J. and White A. Pricing Interest Rate Derivative Securities // The Review of Financial Studies, 3, no. 4 (1990). – P. 573-592.
Hull J. and White A. Using Hull-White Interest Rate Trees // Journal of Derivatives, Spring 1996. – P. 26-36.
Kijima M. and Nagayama I. Efficient Numerical Procedures for the Hull-White Extended Vasicek Model // Journal of Financial Engineering, 3 (September/December 1994). – P. 275-292.
Kijima M. and Nagayama I. A Numerical Procedure for the General One-Factor Interest Rate Model // Journal of Financial Engineering, 5 (December 1996). – P. 317-337.
Li A., Ritchken P. and Sankarasubramanian L. Lattice Models for Pricing American Interest Rate Claims // Journal of Finance, 50, no. 2, June 1995. – P. 719-737.
Rebonato R. Interest rate Option Models. – Wiley, Chichester, 1996.
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