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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
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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
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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
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
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 implement. -- Libor modelling ; stochastic volatility ; CIR processes … ; calibration …
Persistent link: https://www.econbiz.de/10003635097
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009
Persistent link: https://www.econbiz.de/10008662364
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008
Persistent link: https://www.econbiz.de/10003857131
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Option Prices with Stochastic Interest Rates : Black/Scholes and Ho/Lee unified
Wilhelm, Jochen - 2001
Persistent link: https://www.econbiz.de/10008659148
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Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - 2011
Persistent link: https://www.econbiz.de/10009152332
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On the term structure of futures and forward prices
Björk, Tomas; Landén, Camilla - 2000 - Rev. December 20, 2000
We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the...
Persistent link: https://www.econbiz.de/10009502719
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Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models
Priebsch, Marcel A. - 2013
Persistent link: https://www.econbiz.de/10010431716