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~subject:"Zinsstruktur"
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Zinsstruktur
Stochastic process
6
Stochastischer Prozess
6
Theorie
5
Theory
5
Yield curve
4
Option pricing theory
3
Optionspreistheorie
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interest rate models
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Exotic option
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Hedging
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Interest rate
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Last exit time
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Lévy processes
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Static hedging strategy
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Time-inhomogeneous Markov processes
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Zins
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fixed-income assets
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information-based pricing
2
Barrier option
1
CAPM
1
Carr-Chou's symmetry formula
1
Carr-Chou’s symmetry formula
1
Discrete Itô formula
1
Discrete-time multi-asset market
1
Drift condition
1
Duration
1
Exponential functional
1
Finanzmathematik
1
Finite difference scheme
1
Forward rate
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Fredholm integro-differential equation
1
Ho–Lee model
1
Hypothek
1
Insolvency
1
Insolvenz
1
Lévy process
1
Markov chain
1
Markov-Kette
1
Mathematical finance
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English
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Akahori, Jirô
4
Aoki, Hiroki
1
Hara, Keisuke
1
Macrina, Andrea
1
Nagata, Yoshihiko
1
Tsuchiya, Takahiro
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Asia-Pacific financial markets
2
International journal of theoretical and applied finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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What is the natural scale for a Lévy process in modelling term structure of interest rates?
Akahori, Jirô
;
Tsuchiya, Takahiro
- In:
Asia-Pacific financial markets
13
(
2006
)
4
,
pp. 299-313
Persistent link: https://www.econbiz.de/10003609509
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2
Generalizations of Ho-Lee's binomial interest rate model I : from one- to multi-factor
Akahori, Jirô
;
Aoki, Hiroki
;
Nagata, Yoshihiko
- In:
Asia-Pacific financial markets
13
(
2006
)
2
,
pp. 151-179
Persistent link: https://www.econbiz.de/10003496782
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3
Lifting quadratic term structure models to infinite dimension
Akahori, Jirô
;
Hara, Keisuke
- In:
Mathematical finance : an international journal of …
16
(
2006
)
4
,
pp. 635-645
Persistent link: https://www.econbiz.de/10003394182
Saved in:
4
Heat kernel interest rate models with time-inhomogeneous Markov processes
Akahori, Jirô
;
Macrina, Andrea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10009562139
Saved in:
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