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Kalkulation von impliziten Optionsrechten des Kunden in der privaten Wohnungsbaufinanzierung
Gramatke, Wolf Christoph - 2011
Persistent link: https://www.econbiz.de/10008905681
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On the calibration of the Cheyette interest rate model
Beyna, Ingo; Wystup, Uwe - 2010
volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …
Persistent link: https://www.econbiz.de/10008737955
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Derivatebewertung mit dem LIBOR-Marktmodell
Muck, Matthias; Rudolf, Markus - In: Kapitalmarkt, Unternehmensfinanzierung und rationale …, (pp. 453-472). 2006
Persistent link: https://www.econbiz.de/10003236939
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Pricing interest-rate derivatives : a fourier-transform based approach
Bouziane, Markus - 2008
Persistent link: https://www.econbiz.de/10003571605
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Pricing and hedging callable Libor exotics in forward Libor models
Piterbarg, Vladimir V. - In: The journal of computational finance 8 (2004/2005) 2, pp. 65-117
Persistent link: https://www.econbiz.de/10002597597
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Robust calibration of the Libor market model and pricing of derivative products
Schätz, Dennis - 2011
Persistent link: https://www.econbiz.de/10009551549
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A guide on the implementation of the Heath-Jarrow-Morton two-factor Gaussian short rate model (HJM-G2++)
Acar, Sarp Kaya; Natcheva-Acar, Kalina - 2009
Persistent link: https://www.econbiz.de/10009688321
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Grundlagen und Theorie der Bewertung von Rentenoptionen
Lickert, Gerhard - 1996
Persistent link: https://www.econbiz.de/10009700839
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Characteristic functions in the Cheyette Interest Rate Model
Beyna, Ingo; Wystup, Uwe - 2011
We investigate the characteristic functions of multi-factor Cheyette Models and the application to the valuation of interest rate derivatives. The model dynamic can be classiffied as an affine-diffusion process implying an exponential structure of the characteristic function. The characteristic...
Persistent link: https://www.econbiz.de/10008937500