Aisha Khan

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

2

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SSRN CITATIONS

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CROSSREF CITATIONS

2

Scholarly Papers (2)

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 2,555 (6,776)
Citation 2

Abstract:

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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
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 (51,514)

Abstract:

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