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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

Response of the term structure of forward exchange rate to jump in the interest rate

Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874

Persistent link: https://www.econbiz.de/10009708784

An implementation of the HJM model with application to Japanese interest futures

Kamizono, Kanji; Kariya, Takeaki - 1995

Persistent link: https://www.econbiz.de/10000555678

Die Bewertung von Zinsoptionen

Walter, Ulrich - 1996

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Arbitragefreie Bewertung von Zinsderivaten

Heitmann, Frank - 1997

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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