Caps Modeling is a financial derivatives modeling framework within interest rate modeling that specifically characterizes the pricing and hedging of interest rate caps through the incorporation of volatility structures and forward rate dynamics.
70
Publications
5.6K
Citations
135
Authors
80
Institutions
Publications per year
2017–2026
6
Parents
Publications
70
The Market Model of Interest Rate Dynamics
Alan Brace, Dariusz G ̧atarek, Marek Musiela · Mathematical Finance · 1997 · 1.2K citations
The Term Structure of Interest Rates
John M. Culbertson · The Quarterly Journal of Economics · 1957 · 370 citations
The Capital Asset Pricing Model
André F. Perold · The Journal of Economic Perspectives · 2004 · 353 citations · Full text
Business, Finance, Risk Management +14
1–5 of 70
Authors
135
- SA
3
h-index
- LB
2
h-index
- JD
2
h-index
- MM
2
h-index
- MR
2
h-index
1–5 of 135
Institutions
80
Princeton University
Princeton, United States
3 h-index
4 publications
202 citations
National Bureau of Economic Research
Cambridge, United States
2 h-index
3 publications
170 citations
Twin Cities Orthopedics
Edina, United States
2 h-index
2 publications
131 citations
Technische Universität Berlin
Berlin, Germany
2 h-index
3 publications
121 citations
University of Bonn
Bonn, Germany
2 h-index
2 publications
614 citations
Bloomberg (United States)
New York, United States
2 h-index
2 publications
136 citations
UNSW Sydney
Sydney, Australia
2 h-index
3 publications
2.5K citations
Stanford University
Stanford, United States
2 h-index
2 publications
159 citations
1–8 of 80
Venues
- SSRN Electronic Journal
Repository · 12 publications · 449 citations
11
h-index
- The Journal of Finance
4 publications · 932 citations
4
h-index
- Applied Mathematical Finance
3 publications · 331 citations
3
h-index
- Mathematical Finance
2 publications · 1.3K citations
2
h-index
- International Journal of Theoretical and Applied Finance
IJTAF · 2 publications · 37 citations
2
h-index
1–5