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Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L. - In: The journal of futures markets 32 (2012) 8, pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
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American options in Lévy models with stochastic interest rates
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: The journal of computational finance 12 (2009) 4, pp. 51-89
Persistent link: https://www.econbiz.de/10009534611
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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Randomised mixture models for pricing kernels
Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315
Persistent link: https://www.econbiz.de/10010511573
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How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
Orozco-Garcia, Carolina; Schmeiser, Hato - In: Insurance / Mathematics & economics 65 (2015), pp. 77-93
Persistent link: https://www.econbiz.de/10011422877
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Linearized Hamiltonian of the LIBOR market model : analytical and empirical results
Tang, Pan; Baaquie, Belal E.; Du, Xin; Zhang, Ying - In: Applied economics 48 (2016) 10/12, pp. 878-891
Persistent link: https://www.econbiz.de/10011432758
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On stocks and interest rates modeling in long-range dependent environment
Melnikov, Alexander; Mišura, Julija S. - In: Risk and decision analysis 5 (2014) 4, pp. 177-187
Persistent link: https://www.econbiz.de/10011286251
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SABR and SABR LIBOR market models in practice : with examples implemented in Python
Crispoldi, Christian; Wigger, Gérald; Larkin, Peter - 2015
Persistent link: https://www.econbiz.de/10011374239