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~subject:"Interest rate derivative"
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Interest rate derivative
Option pricing theory
53
Optionspreistheorie
53
Theorie
48
Theory
48
Monte Carlo simulation
39
Monte-Carlo-Simulation
36
Yield curve
22
Zinsstruktur
22
Option trading
18
Optionsgeschäft
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Derivat
15
Derivative
15
Greece
12
Griechenland
12
Simulation
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Swap
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China
9
Stochastic process
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Stochastischer Prozess
9
Volatility
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Volatilität
9
Zinsderivat
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USA
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United States
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Estimation theory
7
Game theory
7
Schätztheorie
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Black-Scholes model
6
Black-Scholes-Modell
6
LIBOR market model
6
Portfolio selection
6
Portfolio-Management
6
Robust statistics
6
Robustes Verfahren
6
Spieltheorie
6
Currency derivative
5
Finanzmathematik
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Lieferkette
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Joshi, Mark S.
9
Beveridge, Christopher
2
Ametrano, Ferdinando M.
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Denson, Nicholas
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Denson, Nick
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Stacey, Alan
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
The journal of computational finance
2
International journal of theoretical and applied finance
1
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ECONIS (ZBW)
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Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
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2
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
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3
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
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4
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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5
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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6
Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348823
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7
New and robust drift approximations for the Libor market model
Joshi, Mark S.
(
contributor
);
Stacey, Alan
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297300
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8
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297310
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9
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
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