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19 - Business and Management Studies

University of Northumbria at Newcastle

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Article title

“Extended Black” term structure models

Type

D - Journal article

DOI

10.1016/j.irfa.2009.09.004

Title of journal

International Review of Financial Analysis

Article number

n/a

Volume number

Issue number

First page of article

232

ISSN of journal

1057-5219

Year of publication

2009

URL

http://nrl.northumbria.ac.uk/11932/

Number of additional authors

Additional information

This paper is one of the first to test bond pricing models solved numerically with finite difference methods. It has been cited in other papers published in the International Review of Financial Analysis. Kim and Singleton, recognised as leading scholars in the area (Singleton is editor of Journal of Finance), developed and tested similar models in a paper published in 2012.

Interdisciplinary

Cross-referral requested

Research group

None

Proposed double-weighted

Double-weighted statement

Reserve for a double-weighted output

Non-English

English abstract