Narrow search
Showing 1 - 10 of 11,073
Cover Image
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777909
Cover Image
A term-structure model for dividends and interest rates
Filipović, Damir; Willems, Sander - 2017
efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model …
Persistent link: https://www.econbiz.de/10011874740
Cover Image
Consistent re-calibration in yield curve modeling : an example
Wüthrich, Mario V. - 2015
changes. We discuss how parameters need to be updated with changing market conditions such that the re-calibration meets the … premise of being free of arbitrage. We demonstrate this (consistent) re-calibration with the Hull-White extended discrete time …
Persistent link: https://www.econbiz.de/10011412102
Cover Image
Stochastic duration and fast coupon bond option pricing in multi-factor models
Munk, Claus - 1998
Persistent link: https://www.econbiz.de/10000995478
Cover Image
Option prices with stochastic interest rates : Black, Scholes and Ho, Lee unified
Wilhelm, Jochen - 1999
Persistent link: https://www.econbiz.de/10001407653
Cover Image
Pricing interest rate, dividend, and equity risk
Willems, Sander - 2019
Persistent link: https://www.econbiz.de/10012198741
Cover Image
Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models
Priebsch, Marcel A. - 2013
Persistent link: https://www.econbiz.de/10010431716
Cover Image
"True" stochastic volatility and a generalized class of affine models
Collin-Dufresne, Pierre (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001522553
Cover Image
Option prices with stochastic interest rates : Black/Scholes and Ho/Lee unified
Wilhelm, Jochen - 2001 - 2. draft
Persistent link: https://www.econbiz.de/10001565740
Cover Image
Lognormal random field approximations to LIBOR market models
Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]
We study several approximations for the LIBOR market models presented in Brace, Gatarek, Musiela (1997), Jamshidian (1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random...
Persistent link: https://www.econbiz.de/10001544522