Narrow search
Showing 1 - 10 of 255
Cover Image
Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
Cover Image
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Cover Image
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano - In: Finance and stochastics 3 (1999) 4, pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
Cover Image
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Cover Image
Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying; Ma, Chunhua; Scotti, Simone - In: Finance and stochastics 21 (2017) 3, pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
Cover Image
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
Goldys, Beniamin - In: Finance and stochastics 1 (1997) 4, pp. 345-352
Persistent link: https://www.econbiz.de/10001226609
Cover Image
LIBOR and swap market models and measures
Jamshidian, Farshid - In: Finance and stochastics 1 (1997) 4, pp. 293-330
Persistent link: https://www.econbiz.de/10001226611
Cover Image
Volatility of the short rate in the rational lognormal model
Goldberg, Lisa - In: Finance and stochastics 2 (1998) 2, pp. 199-211
Persistent link: https://www.econbiz.de/10001235405
Cover Image
Minimal realizations of interest rate models
Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
Cover Image
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul; Zhao, Xiaoliang - In: Finance and stochastics 4 (2000) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10001486621