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Currency derivative
Theorie
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Theory
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Optionspreistheorie
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Option pricing theory
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Credit risk
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Kreditrisiko
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Hedging
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Derivat
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Derivative
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Yield curve
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Zinsstruktur
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Stochastic process
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Stochastischer Prozess
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Collateral
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Kreditsicherung
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Volatility
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Volatilität
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Swap
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CAPM
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Interest rate derivative
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Portfolio selection
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Portfolio-Management
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Preismanagement
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Pricing strategy
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Risikomanagement
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Zinsderivat
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Credit derivative
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Heston's model
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Kreditderivat
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Markov chain
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Markov-Kette
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Martingal
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Martingale
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Risikomaß
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Russland
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Währungsderivat
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Rutkowski, Marek
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Ahlip, Rehez
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Li, Libo
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Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The European journal of finance
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ECONIS (ZBW)
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Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez
;
Rutkowski, Marek
- In:
The European journal of finance
22
(
2016
)
7/9
,
pp. 551-571
Persistent link: https://www.econbiz.de/10011619055
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2
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez
;
Rutkowski, Marek
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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3
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
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