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Interst rate derivatives in a Duffie and Kan model with stochastic volatility : an Arrow-Debreu pricing approach
Nunes, Jo~ao Pedro Vidal; Clewlow, Les; Hodges, Stewart D. - In: Review of derivatives research 3 (1999) 1, pp. 5-66
Persistent link: https://www.econbiz.de/10001445808
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
Persistent link: https://www.econbiz.de/10001667067
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Extended libor market models : derivatives pricing, implementation, and calibration
Zühlsdorff, Christian - 2002
Persistent link: https://www.econbiz.de/10001678903
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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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Essays on interest-rate volatility and the pricing of interest-rate derivative assets
Hanweck, Gerald Alfred - 1994
Persistent link: https://www.econbiz.de/10000916134
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The probability density function of interest rates implied in the price of options
Fornari, Fabio - 1998
Persistent link: https://www.econbiz.de/10013453296
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Bewertung von Zinsoptionen bei stochastischer Zinsvolatilität : ein Inversionsansatz
Uhrig-Homburg, Marliese - 1996
Persistent link: https://www.econbiz.de/10013340918
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Interest rate dynamics, derivatives pricing, and risk management
Chen, Lin - 1996
Persistent link: https://www.econbiz.de/10013278137
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The Q-measure dynamics of forward rates
Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522
Persistent link: https://www.econbiz.de/10014426352