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Nunes, J., Clewlow, L. & Hodges, S. (1999). Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach. Review of Derivatives Research. 3, 5-66
J. P. Nunes et al., "Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach", in Review of Derivatives Research, vol. 3, pp. 5-66, 1999
@article{nunes1999_1769665386238,
author = "Nunes, J. and Clewlow, L. and Hodges, S.",
title = "Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach",
journal = "Review of Derivatives Research",
year = "1999",
volume = "3",
number = "",
doi = "10.1023/A:1009646430215",
pages = "5-66",
url = ""
}
TY - JOUR TI - Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach T2 - Review of Derivatives Research VL - 3 AU - Nunes, J. AU - Clewlow, L. AU - Hodges, S. PY - 1999 SP - 5-66 SN - 1380-6645 DO - 10.1023/A:1009646430215 ER -
English