The term structure of simple forward rates with jump risk
Year of publication: |
2003
|
---|---|
Authors: | Glasserman, Paul ; Kou, Steven |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 13.2003, 3, p. 383-410
|
Subject: | Zinsstruktur | Yield curve | Währungsderivat | Currency derivative | Risikoprämie | Risk premium | Theorie | Theory |
-
Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T., (2022)
-
Affine models of currency pricing
Backus, David, (1996)
-
Interest rates, the forward premium, and unanticipated money : reply
Culbertson, W. P., (1988)
- More ...
-
A continuity correction for discrete barrier options
Broadie, Mark, (1997)
-
Connecting Discrete and Continuous Path-Dependent Options
Broadie, Mark, (2011)
-
The Term Structure of Simple Forward Rates with Jump Risk
Glasserman, Paul, (2011)
- More ...