Narrow search
Showing 1 - 10 of 17,388
Cover Image
Dynamic mean-variance portfolio selection with liability and stochastic interest rate
Chang, Hao - In: Economic modelling 51 (2015), pp. 172-182
Persistent link: https://www.econbiz.de/10011475878
Cover Image
Incorporating parameter risk into derivatives prices : bid-ask pricing and calibration
Bannör, Karl Friedrich - 2013
In this thesis, a new methodology using convex risk measures is developed to incorporate parameter risk into prices of financial derivatives, provided that a distribution on the parameter space is given. A technique to induce a parameter distribution in case of calibration to market prices is...
Persistent link: https://www.econbiz.de/10010191893
Cover Image
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Cover Image
Estimating the number and location of knots in spline regressions
Marsh, Lawrence C. - In: The journal of applied business research 2 (1986) 2, pp. 60-70
Persistent link: https://www.econbiz.de/10001157279
Cover Image
Duality and estimation of the term structure of interest rates
Prisman, Eliezer Zeev; Schnytzer, Adi - 1988
Persistent link: https://www.econbiz.de/10000748104
Cover Image
Zinsmodelle in der stochastischen Optimierung : mit Anwendungen im Asset- & Liability-Management
Schürle, Michael - 1998
Persistent link: https://www.econbiz.de/10000672590
Cover Image
Looking for arbitrage or term structures in frictional markets
Li, Zhongfei; Ng, Kai-Wang - In: Internet and network economics : first international …, (pp. 612-621). 2005
Persistent link: https://www.econbiz.de/10003276794
Cover Image
Term-structure slope risk : convexity revisited
Hodges, Stewart D.; Parekh, Naru - In: The journal of fixed income 16 (2006) 3, pp. 54-59
Persistent link: https://www.econbiz.de/10003422034
Cover Image
A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354
Persistent link: https://www.econbiz.de/10003947179
Cover Image
Optimale Darlehensbündel in der privaten Immobilienfinanzierung bei steigender Zinsstrukturkurve
Schuhmacher, Frank - In: Kredit und Kapital 45 (2012) 2, pp. 219-242
Persistent link: https://www.econbiz.de/10009580914