Narrow search
Showing 1 - 10 of 273
Cover Image
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
Cover Image
Valuation of two-factor interest rate contingent claims using Green's theorem
Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 3/4, pp. 277-289
Persistent link: https://www.econbiz.de/10009381923
Cover Image
Bonds and options in exponentially affine bond models
Bermin, Hans-Peter - In: Applied mathematical finance 19 (2012) 5/6, pp. 513-534
Persistent link: https://www.econbiz.de/10009710929
Cover Image
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Cover Image
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
Cover Image
Compound and exchange options in the affine term structure model
Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10001209608
Cover Image
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
Cover Image
Markov interest rate models
Hagan, Patrick S.; Woodward, Diana E. - In: Applied mathematical finance 6 (1999) 4, pp. 233-260
Persistent link: https://www.econbiz.de/10001517815
Cover Image
The pricing of Asian options under stochastic interest rates
Aase Nielsen, Jørgen - In: Applied mathematical finance 3 (1996) 3, pp. 209-236
Persistent link: https://www.econbiz.de/10001217777
Cover Image
Bond, futures and option evaluation in the quadratic interest rate model
Jamshidian, Farshid - In: Applied mathematical finance 3 (1996) 2, pp. 93-115
Persistent link: https://www.econbiz.de/10001219287