Zhenke Guan

Manchester University - Business School

Aytoun Street

Manchester, M1 3GH

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 17,905

SSRN RANKINGS

Top 17,905

in Total Papers Downloads

3,545

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM

Number of pages: 63 Posted: 20 Oct 2008
Aisha Khan, Zhenke Guan and Ser-Huang Poon
University of Manchester - Manchester Business School, Manchester University - Business School and Alliance Manchester Business School, University of Manchester
Downloads 2,541 (6,674)
Citation 2

Abstract:

Loading...

Asset-liability management, Hull-White, Black-Karasinski, Bermudan swaptions, 1-factor model

2.

Choice of Interest Rate Term Structure Models for Assets and Liability Management

Number of pages: 57 Posted: 20 Oct 2008
Zhenke Guan, Bing Gan, Aisha Khan and Ser-Huang Poon
Manchester University - Business School, University of Manchester - Manchester Business School, University of Manchester - Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 656 (50,618)

Abstract:

Loading...

Asset-liability management, Hull-White, Black-Karasinski, Libor Market Model, Swap Market Model, Bermudan swaptions

3.

Swap Market Model: Theory and Empirical Evidence

Number of pages: 49 Posted: 20 Oct 2008
Bing Gan, Zhenke Guan and Ser-Huang Poon
University of Manchester - Manchester Business School, Manchester University - Business School and Alliance Manchester Business School, University of Manchester
Downloads 348 (108,936)
Citation 1

Abstract:

Loading...

Swap Market Model, Libor Market Model, Bermudan swaptions, Asset-liability management, No-arbitrage Drift