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Pricing Interest Rate Derivatives : A General Approach
Chacko, George; Das, Sanjiv Ranjan - 2011
interest rate derivative securities. Our results apply to m-factor processes with n diffusions and l jump processes. The …
Persistent link: https://www.econbiz.de/10014191742
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …
Persistent link: https://www.econbiz.de/10013441427
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SABR Type Libor (Forward) Market Model (SABR/LMM) With Time-Dependent Skew and Smile
Tsuchiya, Osamu - 2022
Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the SABR volatility surface. In the interest rate derivatives...
Persistent link: https://www.econbiz.de/10013403711
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Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian; Lu, Yang - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 766-796
Persistent link: https://www.econbiz.de/10014329912
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Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
Silva, Allan Jonathan da; Baczynski, Jack - In: Computational management science 21 (2024) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10014636797
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Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
condition for the unified model to support a perpetual derivative. Discrete binomial pricing under the unified model is also …
Persistent link: https://www.econbiz.de/10015065971
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Arbitragefreie Bewertung von Zinsderivaten
Heitmann, Frank - 1997
Persistent link: https://www.econbiz.de/10000959293
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Essays in term structure and credit spread models
Fan, Rong - 2002
Persistent link: https://www.econbiz.de/10003776097
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Interest rate swaps and their derivatives : a practitioner's guide
Sadr, Amir - 2009
Persistent link: https://www.econbiz.de/10003809776