Dieter Sondermann

University of Bonn - Institute of Statistics

Adenauerallee 24-26

53113 Bonn, 53113

Germany

SCHOLARLY PAPERS

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Scholarly Papers (4)

Log-Normal Interest Rate Models: Stability and Methodology

Number of pages: 11 Posted: 06 Mar 1997
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics
Downloads 1,873 (8,847)
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Log-Normal Interest Rate Models: Stability and Methodology

Mathematical Finance, Vol. 7, No. 2, pp. 119-125, April 1997
Posted: 05 Jun 1997
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

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2.

Perfect Competition in a Bilateral Monopoly (in Honor of Martin Shubik)

Cowles Foundation Discussion Paper No. 1534
Number of pages: 25 Posted: 30 Sep 2005
Pradeep K. Dubey and Dieter Sondermann
SUNY Stony Brook - Center for Game Theory in Economics and University of Bonn - Institute of Statistics
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Limit orders, double auction, Nash equilibria, Walras equilibria, perfect competition, bilateral monopoly, mechanism design

3.

On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures

Posted: 08 Sep 1999
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

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Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

Posted: 18 Aug 1999
Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann
Copenhagen Business School, University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

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Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

The Journal of Finance, Vol. 52, pp. 409-430, 1997
Posted: 17 May 2006
Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann
Copenhagen Business School, University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

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LIBOR Market, Black Formular