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Option-based credit spreads
Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - 2014
Persistent link: https://www.econbiz.de/10010468759
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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How important is the term structure in implied volatility surface modeling? : evidence from foreign exchange options
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: Journal of international money and finance 30 (2011) 4, pp. 623-640
Persistent link: https://www.econbiz.de/10009268799
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Analytical and numerical methods for pricing financial derivatives
Sevcovic, Daniel; Stehlíková, Beáta; Mikula, Karol - 2011
Persistent link: https://www.econbiz.de/10009513017
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Financial econometrics modeling : derivatives pricing, hedge funds and term structure models
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
Persistent link: https://www.econbiz.de/10008933066
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The Dothan pricing model revisited
Pintoux, Caroline; Privault, Nicolas - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 355-363
Persistent link: https://www.econbiz.de/10008935653
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Characteristic functions in the Cheyette Interest Rate Model
Beyna, Ingo; Wystup, Uwe - 2011
We investigate the characteristic functions of multi-factor Cheyette Models and the application to the valuation of interest rate derivatives. The model dynamic can be classiffied as an affine-diffusion process implying an exponential structure of the characteristic function. The characteristic...
Persistent link: https://www.econbiz.de/10008937500
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The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
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Essays on credit risk and credit derivatives
Bajlum, Claus - 2008
Persistent link: https://www.econbiz.de/10003761742
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Asset pricing and portfolio choice theory
Back, Kerry E. - 2017 - Second edition
Persistent link: https://www.econbiz.de/10011452259