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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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Sensitivity of interest rate caps to the elasticity of forward rate volatility
Sahut, Jean-Michel; Mili, Mehdi - In: International journal of business 11 (2006) 2, pp. 107-119
Persistent link: https://www.econbiz.de/10003341988
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Valuation of volatility sensitive interest rate derivatives in an emerging market
Witzany, Jiří - In: International journal of financial markets and derivatives 1 (2010) 4, pp. 438-451
Persistent link: https://www.econbiz.de/10008665631
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The informational content of option-implied distributions : evidence from the Eurex index and interest rate futures options market
Wilkens, Sascha; Röder, Klaus - In: Global finance journal 17 (2006) 1, pp. 50-74
Persistent link: https://www.econbiz.de/10003381772
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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A pricing kernel approach to valuing options on interest rate futures
Liu, Xiaoquan; Kuo, Jing-Ming; Coakley, Jerry - In: The European journal of finance 21 (2015) 1/3, pp. 93-110
Persistent link: https://www.econbiz.de/10010519972
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Swaption pricing in affine and other models
Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
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A flexible matrix Libor model with smiles
Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10009699999