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Applied mathematical finance
NBER working paper series
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184
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Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Saved in:
2
Volatility skews and extensions of the libor market model
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Applied mathematical finance
7
(
2000
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
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3
A new approximate swaption formula in the LIBOR market model : an asymptotic expansion approach
Kawai, Atsushi
- In:
Applied mathematical finance
10
(
2003
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10001756869
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4
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
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5
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
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6
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
7
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
8
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
9
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
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10
Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe
;
Reutenauer, Victor
;
Talay, Denis
; …
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
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