Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "8506"
  #_source: array:26 [
    "id" => "8506"
    "slug" => "valuation-of-interest-rate-derivatives-in-one-factor-interest-rate-models"
    "yearMonth" => "1995-04"
    "year" => "1995"
    "title" => "Valuation of Interest Rate Derivatives in One-factor Interest Rate Models"
    "description" => "QUITTARD-PINON, F. et PONCET, P. (1995). <i>Valuation of Interest Rate Derivatives in One-factor Interest Rate Models</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "QUITTARD-PINON F."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 18:37:46"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "En utilisant l'approche martingale, nous évaluons explicitement les options européennes sur obligations, caps, floors, swaps, swaptions et les options sur moyennes de taux, dans le cadre d'un modèle de la gamme des taux à un facteur et d'une structure de volatilité soit linéaire soit exponentielle."
      "en" => "Using the martingale approach, we value explicitly European options on bonds, caps, floors, swaps, swaptions and Asian options on interest rates. We do so in the context of a one-factor model of the yield curve and either a linear or an exponential volatility structure."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Valuation of Interest Rate Derivatives in One-factor Interest Rate Models"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, QUITTARD-PINON F."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, QUITTARD-PINON F.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1995</span>"
    "keywordList" => ""
    "docPreview" => "<b>Valuation of Interest Rate Derivatives in One-factor Interest Rate Models</b><br><span>1995-04 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Valuation of Interest Rate Derivatives in One-factor Interest Rate Models</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.831011
  +"parent": null
}