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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Discussion papers / CEPR"
~isPartOf:"International review of financial analysis"
~person:"Bojarčenko, Svetlana I."
~person:"He, Jie-Cao"
~subject:"Swap"
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Option pricing theory
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Optionspreistheorie
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Yield curve
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Constant maturity swap
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Credit derivative
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Credit risk
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Derivat
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Derivative
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Generalized swap market model
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Interest rate
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Interest rate derivative
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Interest rate derivatives
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Kreditderivat
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Kreditrisiko
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Least square Monte Carlo method
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Lévy processes
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Option trading
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Optionsgeschäft
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Range accrual
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Stochastic process
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Stochastischer Prozess
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Wiener-Hopf factorization
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Zins
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Zinsderivat
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barrier options
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credit default swaps
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parabolic inverse Fourier transform
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parabolic inverse Laplace transform
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quadratic term structure models
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quanto CDS
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Bojarčenko, Svetlana I.
He, Jie-Cao
Batten, Jonathan A.
4
Augustin, Patrick
1
Azad, A. S. M. Sohel
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Brace, Alan
1
Chen, Nan
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Chernov, Mikhail
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Choi, Jaehyuk
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David-Pur, Lior
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Kim, Don H.
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Kou, Steven
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Levendorskij, Sergej Z.
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Li, Libo
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Lin, Shih-kuei
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Ly, J.-M.
1
Mele, Antonio
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Musiela, Marek
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Obayashi, Yoshiki
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Pelsser, Antoon André Jean
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Rosenboim, Mosi
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Discussion papers / CEPR
International review of financial analysis
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ECONIS (ZBW)
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Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao
;
Hsieh, Chang-Chieh
;
Huang, Zi-Wei
;
Lin, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
Saved in:
2
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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