Zhenke Guan

Manchester University - Business School

Aytoun Street

Manchester, M1 3GH

United Kingdom

SCHOLARLY PAPERS

3

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CITATIONS
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Top 45,207

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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 University of Manchester - Manchester Business School
Downloads 2,094 (4,282)
Citation 2

Abstract:

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 University of Manchester - Manchester Business School
Downloads 561 (33,577)

Abstract:

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 University of Manchester - Manchester Business School
Downloads 302 (73,808)
Citation 1

Abstract:

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