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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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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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Heat kernel interest rate models with time-inhomogeneous Markov processes
Akahori, Jirô; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009562139
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Pricing interest rate derivatives under monetary changes
Genaro, Alan de; Avellaneda, Marco - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
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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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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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Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
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A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885