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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - 2023
Persistent link: https://www.econbiz.de/10013502696
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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Estimating the term structure of interest rates and pricing of interest rate derivatives
Meier, Iwan - 2000
Persistent link: https://www.econbiz.de/10001547188
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Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
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Volatility indices and implied uncertainty measures of European government bond futures
Baran, Jaroslav; Voříšek, Jan - 2020
Persistent link: https://www.econbiz.de/10013384851
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volatility index
Asensio, Ivan Oscar - In: Quantitative finance 20 (2020) 4, pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
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Volatility level dependence and linear-rational term structure models
Backwell, Alex; Ramnarayan, Kalind - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 13, pp. 3622-3638
Persistent link: https://www.econbiz.de/10013462321