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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - 2017
Persistent link: https://www.econbiz.de/10011778187
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Regime switching rough Heston model
Alfeus, Mesias; Overbeck, Ludger - 2018
Persistent link: https://www.econbiz.de/10011778197
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On numerical methods for spread options
Alfeus, Mesias; Overbeck, Ludger - 2018
Persistent link: https://www.econbiz.de/10011778198