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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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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 … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …
Persistent link: https://www.econbiz.de/10003635097
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004
Persistent link: https://www.econbiz.de/10003487959
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Essays in financial economics
Lu, Yinqiu - 2005
Persistent link: https://www.econbiz.de/10003553447
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Libor Market Models with stochastic volatility and CMS spread option pricing
Lutz, Matthias - 2011
Persistent link: https://www.econbiz.de/10009375797
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Calibrating and completing the volatility cube in the SABR model
Dimitroff, Georgi; Kock, Johan de - 2011
Persistent link: https://www.econbiz.de/10009688312
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …
Persistent link: https://www.econbiz.de/10011538865