Narrow search
Showing 1 - 10 of 295
Cover Image
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Cover Image
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
Cover Image
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Cover Image
Implied Markov transition matrices under structural price models
Defourny, Boris; Moazeni, Somayeh - In: Quantitative finance 21 (2021) 11, pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
Cover Image
A set-valued Markov chain approach to credit default
Chen, Dianfa; Deng, Jun; Feng, Jianfen; Zou, Bin - In: Quantitative finance 20 (2020) 4, pp. 669-689
Persistent link: https://www.econbiz.de/10012194914
Cover Image
Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Cover Image
Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Cover Image
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Cover Image
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Cover Image
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653