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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
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A multi-factor cross-currency LIBOR market mode
Benner, Wolfgang; Zyapkov, Lyudmil; Jortzik, Stephan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 53-71
Persistent link: https://www.econbiz.de/10003862783
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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
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What motivates banks to use derivatives : evidence from Taiwan
Shiu, Yung-ming; Moles, Peter - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 67-78
Persistent link: https://www.econbiz.de/10003985516
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Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem; Karoui, Lotfi; Mnif, Walid - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
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Valuing interest rate swaps using overnight indexed swap (OIS) discounting
Smith, Donald J. - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 49-59
Persistent link: https://www.econbiz.de/10009760534
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Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane; Chen, Son-nan; Wang, Chun-chao; Wu, … - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
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Modifying the LMM to price constant maturity swaps
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
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Interest rate swaps : reconciliation of models
Klein, Peter - In: The journal of derivatives : the official publication … 12 (2004) 1, pp. 46-57
Persistent link: https://www.econbiz.de/10002210957