Sandra Peterson

affiliation not provided to SSRN

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

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1.

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

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Citation 2

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

Number of pages: 50 Posted: 04 Jul 2001
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 735 (67,286)
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The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. S-DRP-01-14
Number of pages: 51 Posted: 07 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 168 (341,685)

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The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

NYU Working Paper No. FIN-01-041
Number of pages: 51 Posted: 03 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 57 (713,098)

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2.

The Valuation of American-Style Swaptions in a Two-Factor Spot Futures Model

Number of pages: 40 Posted: 15 Jan 2000
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 571 (94,046)
Citation 5

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3.

Long-Term Portfolio Choice Given Uncertain Personal Savings

Number of pages: 53 Posted: 12 May 2002
Guenter Franke, Sandra Peterson and Richard C. Stapleton
University of Konstanz - Department of Economics, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 362 (161,032)
Citation 2

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4.

The Pricing of Options on Credit-Sensitive Bonds

Number of pages: 16 Posted: 03 Jun 2004
Sandra Peterson and Richard C. Stapleton
affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 145 (386,334)

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Credit Risk, Bonds, Options

5.

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

Downloads 143 (390,629)

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

NYU Working Paper No. FIN-98-070
Number of pages: 40 Posted: 11 Nov 2008
Marti G. Subrahmanyam, Sandra Peterson and Richard C. Stapleton
New York University (NYU) - Leonard N. Stern School of Business, affiliation not provided to SSRN and University of Strathclyde - Department of Accounting and Finance
Downloads 143 (391,220)

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An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

Posted: 15 Oct 1998
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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6.

The Valuation of American-Style Swaptions in a Two-Factor Spot-Futures Model1

NYU Working Paper No. FIN-99-078
Number of pages: 40 Posted: 11 Nov 2008
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 56 (704,535)

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7.

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Posted: 17 Nov 2003
Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam
affiliation not provided to SSRN, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

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