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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"International journal of theoretical and applied finance"
~person:"Han, Chuan-Hsiang"
~person:"McWalter, Thomas A."
~subject:"Share price"
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Stochastischer Prozess
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Estimation theory
2
Option pricing theory
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Displaced lognormal forward-LIBOR model
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Han, Chuan-Hsiang
McWalter, Thomas A.
Gatheral, Jim
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Finance and stochastics
International journal of theoretical and applied finance
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Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
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2
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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