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Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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Derivative pricing based on the exchange rate in a target zone with realignment
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 945-956
Persistent link: https://www.econbiz.de/10009380992
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A simple time-consistent model for the forward density process
Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
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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
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Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
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Internationality diversified investment using an integrated portfolio model
Konno, Hiroshi - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 145-160
Persistent link: https://www.econbiz.de/10001236671
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Information transmission across Eurodollar futures markets
Lim, Kian-Guan - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 235-245
Persistent link: https://www.econbiz.de/10001240155
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A network model for foreign exchange arbitrage, hedging and speculation
Jones, C. Kenneth - In: International journal of theoretical and applied finance 4 (2001) 6, pp. 837-852
Persistent link: https://www.econbiz.de/10001632641
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The term structure of currency hedge ratios
Korn, Olaf; Koziol, Philipp - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 525-557
Persistent link: https://www.econbiz.de/10009269361
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An empirical investigation of the forward interest rate term structure
Matacz, Andrew; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 703-729
Persistent link: https://www.econbiz.de/10001526865