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Evolution of interest rate models : a comparison
Ho, Thomas S. Y. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
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On perpetual American strangles
Moraux, Franck - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 82-97
Persistent link: https://www.econbiz.de/10003862829
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Volatility skew and the valuation of mortgages
Bhattacharjee, Ranjit; Badak, Bransislav; Russell, Robert A. - In: The journal of fixed income 16 (2006) 3, pp. 39-53
Persistent link: https://www.econbiz.de/10003422025
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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
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Four things you might not know about the Black-Scholes formula
Poulsen, Rolf - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 77-81
Persistent link: https://www.econbiz.de/10003673319
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Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
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Static hedging of timing risk
Carr, Peter; Picron, Jean-Francois - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 57-70
Persistent link: https://www.econbiz.de/10001432497
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Pricing and hedging mandatory convertible bonds
Ammann, Manuel; Seiz, Ralf - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 30-46
Persistent link: https://www.econbiz.de/10003321080
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A unified credit and interest rate arbitrage-free contingent claim model
Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 18 (2008/09) 3, pp. 5-17
Persistent link: https://www.econbiz.de/10003808952
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Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10003852622