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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548
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Arbitrage-free interpolation in models of market observable interest rates
Schlögl, Erik - In: Advances in finance and stochastics : essays in honour …, (pp. 198-218). 2002
Persistent link: https://www.econbiz.de/10001672236
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Arbitrage-free interpolation in models of market observable interest rates
Schlögl, Erik - 2001
Persistent link: https://www.econbiz.de/10001732826
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Implementation of a One-Factor Markov-Functional Interest Rate Model
Truchot, Baptiste - 2016
The interest rate market has been expanding immensely for thirty years, both in term of volumes and diversity of traded contracts. The growing complexity of derivatives has implied a need for sophisticated models in order to price and hedge these products. Three main approaches can be...
Persistent link: https://www.econbiz.de/10012998946
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Modern pricing of interest-rate derivatives : the LIBOR market model and beyond
Rebonato, Riccardo - 2002
Persistent link: https://www.econbiz.de/10001693803
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Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond
Rebonato, Riccardo - 2003
Models" and "Volatility and Correlation in Option Pricing". …In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and … academic and professional experience, straddling both sides of the divide to bring together and build on what theory and …
Persistent link: https://www.econbiz.de/10014488388
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Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - 2010
Persistent link: https://www.econbiz.de/10008663092
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Local volatility dynamic models
Carmona, René; Nadtochiy, Sergey - In: Finance and stochastics 13 (2009) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10003939465
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Die Zinsstrukturtheorie : eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003952238
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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010393225