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Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

(equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options …

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Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244

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Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

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Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

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Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31

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Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95

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Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522

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Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

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Chen, Lin - 1996

This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility …

Persistent link: https://www.econbiz.de/10013519057