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Volatility
Option pricing theory
24
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24
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23
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23
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18
swaptions
16
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14
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14
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9
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swap market model
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swaps
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The journal of computational finance
3
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1
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subject:"swaption"
(256 results)
1
Pricing
swaptions
and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro
- In:
Finance research letters
45
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
Saved in:
3
Back-of-the-envelope
swaptions
in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
4
A unified market model for
swaptions
and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
5
A nonparametric local volatility model for
swaptions
smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
6
Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
Saved in:
7
Accurate pricing of
swaptions
via lower bound
Gambaro, Anna Maria
;
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Handbook of recent advances in commodity and financial …
,
(pp. 183-208)
.
2018
Persistent link: https://www.econbiz.de/10011898636
Saved in:
8
Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse
;
Alfonsi, Aurélien
;
Palidda, Ernesto
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
Saved in:
9
Linear-rational term structure models
Filipović, Damir
;
Larsson, Martin
;
Trolle, Anders B.
- In:
The journal of finance : the journal of the American …
72
(
2017
)
2
,
pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
Saved in:
10
Riding the swaption curve
Duyvesteyn, Johan
;
Zwart, Gerben Jacobus de
- In:
Journal of banking & finance
59
(
2015
),
pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
Saved in:
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