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An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
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Estimates of the short-term rate process in an arbitrage-free framework
Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589
Persistent link: https://www.econbiz.de/10002171480
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Renormalization of Black-Scholes equation for stochastically fluctuating interest rate
Muslimov, Alexander G.; Silantʹev, Nikolai A. - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 621-634
Persistent link: https://www.econbiz.de/10001600364
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate
Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10012030903
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Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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On dynamic forward rate modeling and principal component analysis
Bermin, Hans-Peter - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10010437211
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Interbank credit risk modeling with self-exciting jump processes
Leunga, Charles Guy Njike; Hainaut, Donatien - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32
Persistent link: https://www.econbiz.de/10012496770
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The potential approach in practice
Kluge, Tino; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011889513