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Interest rate models theory an...
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano
;
Mercurio, Fabio
-
2006
-
2. ed.
Persistent link: https://www.econbiz.de/10002116360
Saved in:
2
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
3
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
Saved in:
4
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
5
Modern LIBOR market models : using different curves for projecting rates and for discounting
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10008860420
Saved in:
6
A simple two-period model for option pricing with market imperfections
Mercurio, Fabio
- In:
PhD research bulletin / Tinbergen Institute
9
(
1997
)
1
,
pp. 39-48
Persistent link: https://www.econbiz.de/10001220781
Saved in:
7
Mean-variance pricing and risk preferences
Mercurio, Fabio
-
1996
Persistent link: https://www.econbiz.de/10000932106
Saved in:
8
CDS options through candidate market models and the CDS-calibrated CIR++ stochastic intensity model
Brigo, Damiano
- In:
Credit risk : models, derivatives, and management
,
(pp. 393-425)
.
2008
Persistent link: https://www.econbiz.de/10003718585
Saved in:
9
New developments on the Gaussian Projection Filter with small observation noise
Brigo, Damiano
-
1996
Persistent link: https://www.econbiz.de/10000929725
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10
On the nice behaviour of the Gaussian projection filter with small observation noise
Brigo, Damiano
-
1995
Persistent link: https://www.econbiz.de/10000910433
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