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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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LIBOR market model with multiplicative basis
Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
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Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan; Mi, Yanhui - In: International journal of financial engineering 5 (2018) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
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Asset pricing under general collateralization
Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
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A term structure model and the pricing of interest rate options
Sandmann, Klaus; Sondermann, Dieter - 1989
Persistent link: https://www.econbiz.de/10000781468
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...
Persistent link: https://www.econbiz.de/10003635097
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Interest rate factor models : term structure dynamics and derivatives pricing
Schlögl, Erik - 1997
Persistent link: https://www.econbiz.de/10000649190