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The affine LIBOR models
Keller‐Ressel, Martin; Papapantoleon, Antonis; … - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
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Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009632002
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About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262
Persistent link: https://www.econbiz.de/10012272028
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
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A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
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Do central bank actions reduce interest rate volatility?
Marins, Jaqueline Terra Moura; Vicente, José Valentim … - 2017
Persistent link: https://www.econbiz.de/10011944956
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Do the central bank actions reduce interest rate volatility?
Marins, Jaqueline Terra Moura; Vicente, José Valentim … - In: Economic modelling 65 (2017), pp. 129-137
Persistent link: https://www.econbiz.de/10011813619
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Effect of liquidity on the implied volatility surface in interest rate options markets
Kim, Kwanho - In: Global business and finance review 22 (2017) 3, pp. 45-60
Persistent link: https://www.econbiz.de/10011849353
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Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138