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1

Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models

Natalia Beliaeva, Sanjay Nawalkha

Journal:

Journal of Banking & Finance

Year:

2012

Language:

english

File:

PDF, 922 KB

english, 2012

2

A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model

Beliaeva, Natalia A, Sanjay K., Nawalkha

Journal:

The Journal of Derivatives

Year:

2010

Language:

english

File:

PDF, 2.56 MB

english, 2010

3

Yields versus Expected Returns of Corporate Bonds: Some Unexpected Results

Beliaeva, Natalia A., Koh, Rachel (Kyungyeon), Nawalkha, Sanjay K.

Journal:

The Journal of Fixed Income

Year:

2017

Language:

english

File:

PDF, 1.34 MB

english, 2017

4

Multifactor Models for Managing Interest Rate Risk

Nawalkha, Sanjay K., Soto, Gloria M.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 134 KB

english, 2008

5

Generalized solutions of higher-order duration measures

Sanjay K. Nawalkha, Nelson J. Lacey

Journal:

Journal of Banking & Finance

Year:

1990

Language:

english

File:

PDF, 418 KB

english, 1990

6

A contingent claims analysis of the interest rate risk characteristics of corporate liabilities

Sanjay K. Nawalkha

Journal:

Journal of Banking & Finance

Year:

1996

Language:

english

File:

PDF, 1.03 MB

english, 1996

7

The duration vector: A continuous-time extension to default-free interest rate contingent claims

Sanjay K. Nawalkha

Journal:

Journal of Banking & Finance

Year:

1995

Language:

english

File:

PDF, 885 KB

english, 1995

8

Generalized M-vector models for hedging interest rate risk

Sanjay K. Nawalkha, Gloria M. Soto, Jun Zhang

Journal:

Journal of Banking & Finance

Year:

2003

Language:

english

File:

PDF, 275 KB

english, 2003

9

Pricing American Interest Rate Options under the Jump-Extended Vasicek Model

Beliaeva, Natalia A, Nawalkha, Sanjay K, Soto, Gloria M

Journal:

The Journal of Derivatives

Year:

2008

Language:

english

File:

PDF, 507 KB

english, 2008

10

Convexity, Risk, and Returns

Lacey, Nelson J, Nawalkha, Sanjay K

Journal:

The Journal of Fixed Income

Year:

1993

Language:

english

File:

PDF, 601 KB

english, 1993

11

Immunizing bond portfolios in a multiple term structure economy

Sanjay K. Nawalkha, Nelson J. Lacey

Journal:

International Review of Economics & Finance

Year:

1992

Language:

english

File:

PDF, 741 KB

english, 1992

12

Face value convergence for stochastic bond price processes: a note on Merton's partial equilibrium option pricing model

Sanjay K. Nawalkha

Journal:

Journal of Banking & Finance

Year:

1995

Language:

english

File:

PDF, 717 KB

english, 1995

13

Convexity for Bonds with Special Cash Flow Streams

Sanjay K. Nawalkha and Nelson J. Lacey

Journal:

Financial Analysts Journal

Year:

1991

Language:

english

File:

PDF, 479 KB

english, 1991

14

Interest Rate Sensitivities of Bond Risk Measures

Crack, Timothy Falcon, Nawalkha, Sanjay K.

Journal:

Financial Analysts Journal

Year:

2000

Language:

english

File:

PDF, 676 KB

english, 2000

15

An Improved Approach to Computing Implied Volatility

Donald R. Chambers, Sanjay K. Nawalkha

Journal:

Financial Review

Year:

2001

Language:

english

File:

PDF, 553 KB

english, 2001

16

A multibeta representation theorem for linear asset pricing theories

Sanjay K. Nawalkha

Journal:

Journal of Financial Economics

Year:

1997

Language:

english

File:

PDF, 1.37 MB

english, 1997

17

The Binomial Model and Risk Neutrality: Some Important Details

Sanjay K. Nawalkha, Donald R. Chambers

Journal:

Financial Review

Year:

1995

Language:

english

File:

PDF, 485 KB

english, 1995

18

An Improved Immunization Strategy: M-Absolute

Sanjay K. Nawalkha and Donald R. Chambers

Journal:

Financial Analysts Journal

Year:

1996

Language:

english

File:

PDF, 1.23 MB

english, 1996

19

Interest Rate Sensitivities of Bond Risk Measures

Timothy Falcon Crack and Sanjay K. Nawalkha

Journal:

Financial Analysts Journal

Year:

2000

Language:

english

File:

PDF, 1.21 MB

english, 2000

20

Closed-Form Solutions of Higher-Order Duration Measures

Sanjay K. Nawalkha and Nelson J. Lacey

Journal:

Financial Analysts Journal

Year:

1988

Language:

english

File:

PDF, 436 KB

english, 1988

21

Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options

Nawalkha, Sanjay K, Zhang, Jun, Chambers, Donald R

Journal:

The Journal of Alternative Investments

Year:

1999

Language:

english

File:

PDF, 405 KB

english, 1999

22

Closed-Form Solutions of Convexity and M-Square

Sanjay K. Nawalkha, Nelson J. Lacey and Thomas Schneeweis

Journal:

Financial Analysts Journal

Year:

1990

Language:

english

File:

PDF, 556 KB

english, 1990

23

The M-Vector Model

Nawalkha, Sanjay K, Chambers, Donald R

Journal:

The Journal of Portfolio Management

Year:

1997

Language:

english

File:

PDF, 925 KB

english, 1997

24

Interest Rate Sensitivities of Bond Risk Measures

Crack, Timothy Falcon, Nawalkha, Sanjay K.

Journal:

Financial Analysts Journal

Year:

2000

File:

PDF, 676 KB

2000

25

Pricing American Interest Rate Options Under the Jump-Extended Constant-Elasticity-of-Variance Short Rate Models

Beliaeva, Natalia, Nawalkha, Sanjay K.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 230 KB

english, 2011

26

A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model

Beliaeva, Natalia, Nawalkha, Sanjay K.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 217 KB

english, 2010

27

A note on currency option pricing

Nawalkha, Sanjay K., Chambers, Donald R.

Journal:

International Review of Financial Analysis

Year:

1995

Language:

english

File:

PDF, 256 KB

english, 1995

28

[untitled]

Review by: Sanjay K. Nawalkha

Journal:

Journal of Economic Literature

Year:

2003

Language:

english

File:

PDF, 406 KB

english, 2003

29

Efficient Trees for CIR and CEV Short Rate Models

Nawalkha, Sanjay K, Beliaeva, Natalia A

Journal:

The Journal of Alternative Investments

Year:

2007

Language:

english

File:

PDF, 2.05 MB

english, 2007

30

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Front Matter

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 176 KB

english, 2012

31

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Fundamental and Preference-Free Two-Factor Affine Models

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 631 KB

english, 2012

32

An Improved Immunization Strategy: M-Absolute

Nawalkha, Sanjay K., Chambers, Donald R.

Journal:

Financial Analysts Journal

Year:

1996

Language:

english

File:

PDF, 640 KB

english, 1996

33

Common Misunderstandings Concerning Duration and Convexity

Crack, Timothy Falcon, Nawalkha, Sanjay K.

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 1020 KB

english, 2007

34

Generalized M-Vector Models for Hedging Interest Rate Risk

Nawalkha, Sanjay K., Soto, Gloria M., Zhang, Jun

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 85 KB

english, 2003

35

Efficient Trees for CIR and CEV Short Rate Models

Nawalkha, Sanjay K., Beliaeva, Natalia

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 1.80 MB

english, 2007

36

Is the Arbitrage Pricing Theory Dead?

Nawalkha, Sanjay K.

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 167 KB

english, 2007

37

The LIBOR/SABR Market Models: A Critical Review

Nawalkha, Sanjay K.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 2.31 MB

english, 2009

38

Managing Interest Rate Risk

Nawalkha, Sanjay K., Soto, Gloria M.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 518 KB

english, 2011

39

A Practical Guide to Arbitrage-Free Pricing Using Martingales

Nawalkha, Sanjay K., Beliaeva, Natalia

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 3.63 MB

english, 2007

40

The Duration Vector: a Continuous-Time Extension to Default-Free Interest Rate Contingent Claims

Nawalkha, Sanjay K.

Journal:

SSRN Electronic Journal

Year:

1995

Language:

english

File:

PDF, 3.02 MB

english, 1995

41

Convexity for Bonds with Special Cash Flow Streams

Nawalkha, Sanjay K., Lacey, Nelson J.

Journal:

Financial Analysts Journal

Year:

1991

Language:

english

File:

PDF, 535 KB

english, 1991

42

The Progeny of CAPM

Nawalkha, Sanjay K., Schwarz, Christopher

Journal:

SSRN Electronic Journal

Year:

2004

File:

PDF, 276 KB

2004

43

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Fundamental and Preference-Free Multifactor Affine Models

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 645 KB

english, 2012

44

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || About the CD-ROM

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 72 KB

english, 2012

45

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Customer Note

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 62 KB

english, 2012

46

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || The HJM Forward Rate Model

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 237 KB

english, 2012

47

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Index

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 123 KB

english, 2012

48

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || References

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 85 KB

english, 2012

49

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Fundamental and Preference-Free Jump-Extended Gaussian Models

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 477 KB

english, 2012

50

Dynamic Term Structure Modeling (The Fixed Income Valuation Course) || Preference-Free CIR and CEV Models with Jumps

Nawalkha, Sanjay K., Beliaeva, Natalia A., Soto, Gloria M.

Year:

2012

Language:

english

File:

PDF, 367 KB

english, 2012

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