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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
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Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse; Alfonsi, Aurélien; Palidda, Ernesto - In: The journal of computational finance 21 (2017) 1, pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273