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A PDE-based approach for pricing Mortgage-Backed securities
Papi, Marco; Briani, Maya - In: Advanced mathematical methods for finance, (pp. 257-291). 2011
Persistent link: https://www.econbiz.de/10008991287
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Option pricing with scheduled and unscheduled news flows
Pérignon, Christophe - 2000
Persistent link: https://www.econbiz.de/10001469980
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
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CMBS tranche valuation framework : correlated geometric Brownian motions simulation
Shiu, Peijie; Luong, Uyen; Rozov, Yadin - In: The journal of fixed income 21 (2011) 1, pp. 55-66
Persistent link: https://www.econbiz.de/10009314955
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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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Valuation of mortgages by using Lévy models
Chiang, Shu Ling; Tsai, Ming-shann - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 25-54
Persistent link: https://www.econbiz.de/10014582188
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Nonlinear pricing : theory & applications
May, Christopher T. - 1999
Persistent link: https://www.econbiz.de/10000671713
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Applied conic finance
Madan, Dilip B.; Schoutens, Wim - 2016
"This is a comprehensive introduction to the brand new theory of conic finance, also referred to as the two-price theory, which determines bid and ask prices in a consistent and fundamentally motivated manner. Whilst theories of one price classically eliminate all risk, the concept of acceptable...
Persistent link: https://www.econbiz.de/10013547026