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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
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The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst; Gerhart, Christoph - In: Quantitative finance 18 (2018) 4, pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
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Bond and option pricing for interest rate model with clustering effects
Zhang, Xin; Xiong, Jie; Shen, Yang - In: Quantitative finance 18 (2018) 6, pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
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VIX futures term structure and the expectations hypothesis
Asensio, Ivan Oscar - In: Quantitative finance 20 (2020) 4, pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
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A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA
Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - In: Quantitative finance 24 (2024) 3/4, pp. 409-432
Persistent link: https://www.econbiz.de/10014552078
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Decomposing LIBOR in transition : evidence from the futures markets
Skov, Jacob Bjerre; Skovmand, David - In: Quantitative finance 23 (2023) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10014304406