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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher; Joshi, Mark S. - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010363971
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Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
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Sensitivities of Asian options in the black-scholes model
Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
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An arithmetic pure-jump multi-curve interest rate model
Hess, Markus - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
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Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz; Rakhmonov, Parviz - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
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Risk sensitivities of Bermuda swaptions
Piterbarg, Vladimir V. - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 465-509
Persistent link: https://www.econbiz.de/10002108806
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812