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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
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Pricing kernel factorization and recovery theorem
Diffouo, Pauline M. Ngugnie; Noupoue, Yves Y. Yameni - In: International journal of financial engineering 7 (2020) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10012603067
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Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir - In: International journal of financial engineering 3 (2016) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
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Control of price acceptability under the univariate Vasicek model
Dang-Nguyen, S.; Rakotondratsimba, Y. - In: International journal of financial engineering 3 (2016) 3, pp. 1-40
Persistent link: https://www.econbiz.de/10011587732
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A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
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Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian; Zhou, Xiangying - In: International journal of financial engineering 4 (2017) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
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The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe; Ligato, Simone; Mulas, Martina - In: International journal of financial engineering 4 (2017) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
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LIBOR market model with multiplicative basis
Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
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Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan; Mi, Yanhui - In: International journal of financial engineering 5 (2018) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011923038