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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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A tractable interest rate model with explicit monetary policy rates
Renne, Jean-Paul - In: European journal of operational research : EJOR 251 (2016) 3, pp. 873-887
Persistent link: https://www.econbiz.de/10011449003
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Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao; Ye, Xiaoxia; Yu, Fan - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
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Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
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Project options valuation with net present value and decision tree analysis
De Reyck, Bert; Degraeve, Zeger; Vandenborre, Roger - In: European journal of operational research : EJOR 184 (2008) 1, pp. 341-355
Persistent link: https://www.econbiz.de/10003768216
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Discrete time modeling of mean-reverting stochastic processes for real option valuation
Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548
Persistent link: https://www.econbiz.de/10003768285
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New insights on testing the efficiency of methods of pricing and hedging American options
Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino - In: European journal of operational research : EJOR 185 (2008) 1, pp. 235-254
Persistent link: https://www.econbiz.de/10003768761
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Approximate inversion of the Black-Scholes formula using rational functions
Li, Minqiang - In: European journal of operational research : EJOR 185 (2008) 2, pp. 743-759
Persistent link: https://www.econbiz.de/10003769241
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344