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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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Closed form solutions for quadratic and inverse quadratic term structure models
Laurence, Peter; Wang, Tai-Ho - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1059-1083
Persistent link: https://www.econbiz.de/10003280034
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A new finite element method for pricing of bond options under time inhomogeneous affine term structure models of interest rates
Yang, Hongtao - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 31-49
Persistent link: https://www.econbiz.de/10003415634
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Valuation of guaranteed annuity options in affine term structure models
Chu, Chi Chiu; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 363-387
Persistent link: https://www.econbiz.de/10003441993
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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Joining the Heston and a three-factor short rate model : a closed-form approach
Horsky, Roman; Sayer, Tilman - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-17
Persistent link: https://www.econbiz.de/10011419421
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The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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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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In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An; Sandmann, Klaus - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-24
Persistent link: https://www.econbiz.de/10009706335