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A note on the stability of lognormal interest rate models and the pricing of Eurodollar futures
Sandmann, Klaus - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 119-125
Persistent link: https://www.econbiz.de/10001220282
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Admissibility of generic market models of forward swap rates
Li, Libo; Rutkowski, Marek - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
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Hedging under transaction costs in currency markets: a discrete-time model
Delbaen, Freddy; Kabanov, Jurij M.; Valkeila, Esko - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10001686163
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Hedging under transaction costs in currency markets: a continuous-time model
Kabanov, Jurij M.; Last, Günter - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10001686166
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The term structure of simple forward rates with jump risk
Glasserman, Paul; Kou, Steven - In: Mathematical finance : an international journal of … 13 (2003) 3, pp. 383-410
Persistent link: https://www.econbiz.de/10001782287
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On finite dimensional realizations of two-country intereste rate models
Slinko, Irina - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 117-143
Persistent link: https://www.econbiz.de/10003955690
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The pricing of options with an uncertain interest rate : a discrete-time approach
Sandmann, Klaus - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 201-216
Persistent link: https://www.econbiz.de/10001333344
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Option pricing for jump diffusions : approximations and their interpretation
Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200
Persistent link: https://www.econbiz.de/10001333345
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Convergence of the critical price in the approximation of American options
Lamberton, Damien - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 179-190
Persistent link: https://www.econbiz.de/10001333346
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Option and futures evaluation with deterministic volatilities
Jamshidian, Farshid - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 149-159
Persistent link: https://www.econbiz.de/10001333348