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Pricing CMS spreads in the Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, … - 2008
Persistent link: https://www.econbiz.de/10003809706
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Continuous-time limits in the generalized Ho-Lee framework under the forward measure
Sommer, Daniel - 1996 - Rev. version
Persistent link: https://www.econbiz.de/10000946114
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Calibrating and completing the volatility cube in the SABR model
Dimitroff, Georgi; Kock, Johan de - 2011
Persistent link: https://www.econbiz.de/10009688312
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A guide on the implementation of the Heath-Jarrow-Morton two-factor Gaussian short rate model (HJM-G2++)
Acar, Sarp Kaya; Natcheva-Acar, Kalina - 2009
Persistent link: https://www.econbiz.de/10009688321
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On the stability of lognormal interest rate models
Sandmann, Klaus - 1993
Persistent link: https://www.econbiz.de/10000880242
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Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
Sandmann, Klaus - 1994
Persistent link: https://www.econbiz.de/10013276400
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Pricing American options in the Heston model : a close look on incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011
Persistent link: https://www.econbiz.de/10009688311
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Lognormality of rates and term structure models
Goldys, Beniamin - 1996
Persistent link: https://www.econbiz.de/10000954622