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PDE approach to the valuation and hedging of basket credit derivatives
Rutkowski, Marek; Yousiph, Khan - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1261-1285
Persistent link: https://www.econbiz.de/10003632076
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Risk premia and optimal liquidation of credit derivatives
Leung, Tim; Liu, Peng - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
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Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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Implied kernel models
Weigel, Peter - In: International journal of theoretical and applied finance 8 (2005) 5, pp. 575-601
Persistent link: https://www.econbiz.de/10003058621
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A filtering approach to pricing in multifactor term structure models
Gombani, Andrea; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 303-320
Persistent link: https://www.econbiz.de/10001578740
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Mean-reverting stochastic volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
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Correlation analysis in the libor and swap market model
De Malherbe, Etienne - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
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Factor copula model for portfolio credit risk
Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012652691