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source:"econis"
~person:"Genaro, Alan de"
~person:"Grbac, Zorana"
~person:"Schlögl, Erik"
~subject:"Interest rate derivative"
~subject:"Optionspreistheorie"
~type_genre:"Conference paper"
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Interest rate derivative
Optionspreistheorie
Option pricing theory
4
Stochastic process
4
Stochastischer Prozess
4
Yield curve
4
Zinsstruktur
4
Zinsderivat
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affine processes
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alternative risk-free rate
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deterministic timed jumps
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hedging
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interest rate derivatives
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Genaro, Alan de
Grbac, Zorana
Schlögl, Erik
Avellaneda, Marco
1
Benth, Fred Espen
1
Brody, Dorje C.
1
Fontana, Claudio
1
Glau, Kathrin
1
Goudenege, Ludovic
1
Hughston, Lane P.
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Krief, David
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Meier, David M.
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Molent, Andrea
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Mordecki, Ernesto
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Papapantoleon, Antonis
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Russo, Vincenzo
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Schmidt, Thorsten
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
International journal of theoretical and applied finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio
;
Grbac, Zorana
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
Saved in:
2
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
3
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
4
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
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