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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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A flexible matrix Libor model with smiles
Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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The affine LIBOR models
Keller‐Ressel, Martin; Papapantoleon, Antonis; … - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
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Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
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The pricing of contingent claims written on bonds by simulation of bond price processes : version 2.0
Miltersen, Kristian R.; Nielsen, Lars - 1989
Persistent link: https://www.econbiz.de/10000775498
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Option pricing with stochastic bond prices
Solnik, Bruno; Henrotte, Philippe - 1989
Persistent link: https://www.econbiz.de/10000759158
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Continuous-time term structure models
Musiela, Marek; Rutkowski, Marek - 1996 - Rev. version
Persistent link: https://www.econbiz.de/10000602499
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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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Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242
Persistent link: https://www.econbiz.de/10003765155