A Unified Willow Tree Framework for One-Factor Short-Rate Models

Guangguang Wang and Wei Xu
The Journal of Derivatives Spring 2018, 25 (3) 33-54; DOI: https://doi.org/10.3905/jod.2018.1.064

Article Information

vol. 25 no. 3 33-54
DOI 
https://doi.org/10.3905/jod.2018.1.064
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online February 26, 2018.

Article Versions

Copyright & Usage 
© 2018 Pageant Media Ltd

Author Information

  1. Guangguang Wang
    1. is a PhD student in the School of Mathematical Sciences at Tongji University in Shanghai, China. (1410547{at}tongji.edu.cn)
  2. Wei Xu
    1. is an associate professor in the School of Mathematical Sciences at Tongji University in Shanghai, China. (wdxu{at}tongji.edu.cn)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
View Full Text

Cited By...

Back to top

Explore our content to discover more relevant research

In this issue

Print
Download PDF
Article Alerts
Email Article
Citation Tools
Save To My Folders
A Unified Willow Tree Framework for One-Factor Short-Rate Models
Guangguang Wang, Wei Xu
The Journal of Derivatives Feb 2018, 25 (3) 33-54; DOI: 10.3905/jod.2018.1.064
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Facebook Like LinkedIn logo

Jump to section