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~person:"Bueno-Guerrero, Alberto"
~subject:"Stochastic process"
~subject:"Yield curve"
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Stochastic process
Yield curve
Hedging
3
Option pricing theory
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Bueno-Guerrero, Alberto
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13
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9
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New methods in fixed income modeling : fixed income modeling
2
Risks : open access journal
1
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Pricing and
hedging
bond power exchange options in a stochastic string term-structure model
Blenman, Lloyd P.
;
Bueno-Guerrero, Alberto
;
Clark, Steven P.
- In:
Risks : open access journal
10
(
2022
)
10
,
pp. 1-17
-form expressions for pricing and
hedging
bond power exchange options are obtained and, as particular cases, the corresponding …
Persistent link: https://www.econbiz.de/10013555525
Saved in:
2
Sensitivity analysis and
hedging
in stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 151-167)
.
2018
Persistent link: https://www.econbiz.de/10012011646
Saved in:
3
Hedging
Asian bond options with Malliavin calculus under stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 169-180)
.
2018
Persistent link: https://www.econbiz.de/10012011647
Saved in:
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