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~isPartOf:"The journal of computational finance"
~isPartOf:"Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung"
~subject:"Arbitrage pricing"
~type_genre:"Aufsatz in Zeitschrift"
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Arbitrage pricing
Interest rate derivative
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Kennedy, Joanne E.
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The journal of computational finance
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
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ECONIS (ZBW)
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One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
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2
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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3
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
Saved in:
4
Lognormal approximations to Libor market models
Kurbanmuradov, O.
;
Sabelfeld, K.
;
Schoenmakers, John
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
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5
Berechnung eines arbitragefreien Festzinssatzes bei Zinsswaps
Beike, Rolf
;
Spörk, Wolfgang
- In:
Wirtschaftswissenschaftliches Studium : WiSt ; …
29
(
2000
)
3
,
pp. 167-170
Persistent link: https://www.econbiz.de/10001452243
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