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Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
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A path-integral approximation for non-linear diffusions
Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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Modelling the Uruguayan debt through Gaussians models
Mordecki, Ernesto; Sosa, Andrés - In: Trends in mathematical economics : dialogues between …, (pp. 331-346). 2016
Persistent link: https://www.econbiz.de/10011800861
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Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
Palapies, Lars - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 415-460
Persistent link: https://www.econbiz.de/10014443750
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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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Essays on interest rates
Guttentag, Jack M. (contributor) - 1969
Persistent link: https://www.econbiz.de/10000662611
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Zinsmodelle in der stochastischen Optimierung : mit Anwendungen im Asset- & Liability-Management
Schürle, Michael - 1998
Persistent link: https://www.econbiz.de/10000672590
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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