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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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On the presence of unspanned volatility in European interest rate options
Renò, Roberto; Uboldi, Adamo - In: Applied financial economics letters 1 (2005) 1, pp. 15-18
Persistent link: https://www.econbiz.de/10002550020
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The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter; Rebonato, Riccardo - In: The journal of computational finance 6 (2003) 4, pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
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Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001456681
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Pricing American interest rate claims with humped volatility models
Moraleda Novo, Juan Manuel; Vorst, Ton - 1996
Persistent link: https://www.econbiz.de/10000939517
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Risk management for equity portfolios of Japanese banks
Ieda, Akira; Ohba, Toshikazu - 1998
Persistent link: https://www.econbiz.de/10000994638
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Pricing American interest rate claims with humped volatility models
Moraleda Novo, Juan Manuel; Vorst, Ton - 1996
Persistent link: https://www.econbiz.de/10000966929
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Callable US treasury bonds : optimal calls, anomalies, and implied volatilities
Bliss, Robert R.; Ronn, Ehud I. - 1997
Persistent link: https://www.econbiz.de/10000975260
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Risk management for equity portfolios of Japanese banks
Ieda, Akira; Ohba, Toshikazu - In: Monetary and economic studies 17 (1999) 2, pp. 91-117
Persistent link: https://www.econbiz.de/10001402196