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~subject:"Zinsstruktur"
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Zinsstruktur
Option pricing theory
46
Optionspreistheorie
46
Theorie
35
Theory
35
Monte Carlo simulation
32
Monte-Carlo-Simulation
29
Yield curve
22
Option trading
16
Optionsgeschäft
16
Derivat
13
Derivative
13
Interest rate derivative
9
Zinsderivat
9
Greece
8
Griechenland
8
Simulation
8
Swap
8
Stochastic process
7
Stochastischer Prozess
7
Volatility
7
Volatilität
7
LIBOR market model
6
USA
6
United States
6
Black-Scholes model
5
Black-Scholes-Modell
5
Currency derivative
5
Finanzmathematik
5
Monte Carlo
5
Portfolio selection
5
Portfolio-Management
5
Währungsderivat
5
Bermudan options
4
Early exercise
4
Greeks
4
Mathematical finance
4
Robust statistics
4
Robustes Verfahren
4
Estimation theory
3
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Free
11
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1
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Book / Working Paper
13
Article
9
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Arbeitspapier
13
Working Paper
13
Graue Literatur
11
Non-commercial literature
11
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9
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9
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English
22
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Joshi, Mark S.
21
Beveridge, Christopher
5
Chan, Jiun Hong
3
Beveridge, Chris J.
2
Denson, Nick
2
Kwon, Oh Kang
2
Wiguna, Alexander
2
Wright, Will M.
2
Ametrano, Ferdinando M.
1
Denson, Nicholas
1
Kainth, Dherminder
1
Rebonato, Riccardo
1
Stacey, Alan
1
Tang, Robert
1
Zhu, Dan
1
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
13
International journal of theoretical and applied finance
2
Journal of risk
2
The journal of computational finance
2
Journal of economic dynamics & control
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
22
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1
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo
;
Kainth, Dherminder
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
Saved in:
2
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
3
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
Saved in:
4
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
Saved in:
5
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
Saved in:
6
Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924347
Saved in:
7
Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.
;
Joshi, Mark S.
;
Wright, Will M.
- In:
Journal of risk
14
(
2011/12
)
4
,
pp. 65-113
Persistent link: https://www.econbiz.de/10009571595
Saved in:
8
Monte Carlo market Greeks in the displaced diffusion Libor market model
Joshi, Mark S.
;
Kwon, Oh Kang
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10009422363
Saved in:
9
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
10
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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