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Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther - 2001
Persistent link: https://www.econbiz.de/10001615568
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Bewertung und empirische Analyse von Schuldnerkündigungsrechten
Schulze, Michael - 1996
Persistent link: https://www.econbiz.de/10000935922
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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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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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Pricing interest rate derivates under different interest rate modeling : a critical and empirical comparison
De Simone, Antonio - In: Investment management and financial innovations 7 (2010) 2, pp. 49-58
Persistent link: https://www.econbiz.de/10003968762
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 4, pp. 412-422
Persistent link: https://www.econbiz.de/10011439173
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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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Pricing Interest Rate Derivatives Under Different Interest Rate Modeling : A Critical and Empirical Comparison
De Simone, Antonio - 2011
This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model has become almost a trivial task. However, their use is not always possible, so that the problem of...
Persistent link: https://www.econbiz.de/10013130645