L. Sankarasubramanian

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (3)

1.

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 12 May 2000
George Pennacchi, Peter H. Ritchken and L. Sankarasubramanian
University of Illinois, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

Abstract:

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2.

Lattice Models for Pricing American Interest Rate Claims

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 20 Dec 1998
Anlong Li, Peter H. Ritchken and L. Sankarasubramanian
KL Capital, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

Abstract:

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3.

The Importance of Forward Rate Volatility Structures in Pricing Interest Rate-Sensitive Claims

JOURNAL OF DERIVATIVES, Fall 1995
Posted: 22 Aug 1998
Peter H. Ritchken and L. Sankarasubramanian
Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

Abstract:

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