Bing Gan

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

1,007

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

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

Number of pages: 57 Posted: 20 Oct 2008
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 657 (51,462)

Abstract:

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

2.

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 350 (110,463)
Citation 1

Abstract:

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