Recent content by vickieschmidt

Hi, I do agree with the one who said "Clewlow and Strickland", besides if you want to work with closed formulae i can pass you the ones for CIR'85 and Vasicek to price bonds (in Brigo-Mercurio (interest rate models theory and practice) you can find its expressions for conditional expectations...

Hi, I'm studying and developping the closed formulae for conditional variance in the general model CKLS and for all its special cases but I've got problems to get the ones when tau>1, none at all for all others. Can anyone help me getting them? Many thanxxxx VS