El modelo de Black, Derman y Toy en la práctica: aplicación al mercado español de deuda pública

Marta Tolentino García-Abadillo, Antonio Díaz · Revista Europea de Dirección y Economía de la Empresa · 2006

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Type: article
Published: 2006-01-01
Cited by: 1
References: 44
OpenAlex: https://openalex.org/W14479747
Semantic Scholar: https://api.semanticscholar.org/CorpusID:159574445

Keywords

Humanities, Political science, Philosophy

References

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Análisis y gestión del riesgo de interésVicente Meneu, Eliseo Navarro, María Teresa Barreira — 1992
Implementing derivatives modelsLes Clewlow, Chris Strickland — 1998
Advanced modelling in finance using Excel and VBAMary Jackson, Mike Staunton — 2001
Pricing and Hedging Interest and Credit Risk Sensitive InstrumentsFrank S. Skinner — 2004
Advanced Fixed-Income Valuation ToolsNarasimhan Jegadeesh, Bruce Tuckman — 1999
Interest Rate, Term Structure, and Valuation ModelingFrank J. Fabozzi — 2002
A two-factor duration model for interest rate risk managementJuan M. Nave Pineda, Eliseo Navarro Arribas — 1997
Options, Futures, and Other DerivativesJ. Hull — 1989
Abstract: An Equilibrium Characterization of the Term StructureOldrich A. Vasicek — 1977
A One-Factor Model of Interest Rates and Its Application to Treasury Bond OptionsFischer Black, Emanuel Derman, William W. Toy — 1990
Bond and Option Pricing when Short Rates are LognormalFischer Black, Piotr Karasinski — 1991
Impact of Different Interest Rate Models on Bond Value MeasuresGerald W. Buetow, Bernd Hanke, Frank J. Fabozzi — 2001
Implementation of the BDT Model with Different Volatility EstimatorsTuran G. Bali, Ahmet K. Karagozoglu — 1999
Forward Induction and Construction of Yield Curve Diffusion ModelsFarshid Jamshidian — 1991
Calibrating the Black-Derman-Toy model: some theoretical resultsPhelim P. Boyle, Ken Seng Tan, Weidong Tian — 2001
Pricing Interest-Rate-Derivative SecuritiesJohn Hull, Alan White — 1990
A Comparative Analysis of Several Popular Term Structure Estimation ModelsRobert Ferguson, Steven Raymar — 1998
An Empirical Study of Credit Default SwapsFrank S. Skinner, Antonio Díaz — 2003
Dynamic Models of the Term StructureHong Yan — 2001

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SELECCION, CALIBRACION Y APLICACION DE UN MODELO DE VALORACION DE UN FUTURO SOBRE BONO NOCIONAL TENIENDO EN CUENTA LA OPCION DE ENTREGA IMPLICITAAntony Arenas Ardila, J. M. Picon — 2012

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