Narrow search
Showing 1 - 7 of 7
Cover Image
Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Rebonato, Riccardo - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 705-746
Persistent link: https://www.econbiz.de/10003378994
Cover Image
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Cover Image
Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
Cover Image
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo; Kainth, Dherminder - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
Cover Image
Which process gives rise to the observed dependence of swaption implied volatility on the underlying?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 419-442
Persistent link: https://www.econbiz.de/10001779831
Cover Image
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
Cover Image
Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10001526862