Similar Search Results

Volatility skews and extensions of the libor market model

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10001546115

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - 2016

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …

Persistent link: https://www.econbiz.de/10011516038

Die Bewertung von Zinsoptionen

Walter, Ulrich - 1996

Persistent link: https://www.econbiz.de/10000560789

Arbitragefreie Bewertung von Zinsderivaten

Heitmann, Frank - 1997

Persistent link: https://www.econbiz.de/10000959293

Bewertung von Zinsoptionsscheinen am deutschen Kapitalmarkt : eine empirische Analyse mit Hilfe des Bewertungsansatzes von Heth/Jarrow/Norton

Weber, Thomas - 1996

Persistent link: https://www.econbiz.de/10000959779

A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility 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...

Persistent link: https://www.econbiz.de/10003635097