Search Results - subject:"displaced-diffusion"

Choi, Jaehyuk; Kwak, Minsuk; Tee, Chyng Wen; Wang, Yumeng - In: The journal of futures markets 42 (2022) 5, pp. 959-980

Persistent link: https://www.econbiz.de/10013187619

Beveridge, Christopher; Joshi, Mark S. - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-47

Persistent link: https://www.econbiz.de/10010363971

BEVERIDGE, CHRISTOPHER; JOSHI, MARK - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450001-1

We study the simulation of range accrual coupons when valuing callable range accruals in the displaced-diffusion LIBOR …

Persistent link: https://www.econbiz.de/10010883212

Gairat, Alexander; Shcherbakov, Vadim - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1069-1088

Persistent link: https://www.econbiz.de/10011765020

Grzelak, Lech; Oosterlee, Kees - Volkswirtschaftliche Fakultät, … - 2010

[Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02 …

Persistent link: https://www.econbiz.de/10008596418

Kienitz, Jörg; Wittke, Manuel - Finance Discipline Group, Business School - 2010

model. Using the Markovian Projection methodology we approximate a univariate displaced diffusion SABR dynamic for the …

Persistent link: https://www.econbiz.de/10008506968

Kennedy, Joanne E.; Pham, Duy - In: Applied mathematical finance 21 (2014) 5/6, pp. 451-481

Persistent link: https://www.econbiz.de/10010500879

Brigo, Damiano; Di Graziano, Giuseppe - In: Journal of financial engineering 1 (2014) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10010508077

Barraclough, Kathryn; Stoll, Hans R.; Whaley, Robert E. - In: Journal of financial markets 15 (2012) 2, pp. 233-257

Persistent link: https://www.econbiz.de/10009614491

Lee, Roger; Wang, Dan - In: Annals of Finance 8 (2012) 2, pp. 159-181

Persistent link: https://www.econbiz.de/10010866516

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