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An Arbitrage-Free Nelson-Siegel Term Structure Model with Stochastic Volatility for the Determination of Currency Risk Premia
Mouabbi, Sarah - 2015
Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …
Persistent link: https://www.econbiz.de/10013031582
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An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia
Mouabbi, Sarah - 2014
Persistent link: https://www.econbiz.de/10010439768
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Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010
DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR … -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN … ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN VOLATILITÄTEN DER ZINSSTRUKTUR -- ERKLÄRUNGS- & PROGNOSEMODELL ZUR ZINSSTRUKTUR. …
Persistent link: https://www.econbiz.de/10014425190
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A survey on modeling and analysis of basis spreads
Fujii, Masaaki; Takahashi, Akihiko - In: Recent advances in financial engineering 2011: …, (pp. 43-53). 2012
Persistent link: https://www.econbiz.de/10009573489
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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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A review of no arbitrage interest rate models
Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002
Persistent link: https://www.econbiz.de/10001734140
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Arbitrage-Free Neural-SDE Market Models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - 2021
our approach with numerical experiments using data generated from a Heston stochastic local volatility model …
Persistent link: https://www.econbiz.de/10013226011
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Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh; Huang, Li-Jhang - In: Review of derivatives research 22 (2019) 2, pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
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One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
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An implementation of the HJM model with application to Japanese interest futures
Kamizono, Kanji; Kariya, Takeaki - 1995
Persistent link: https://www.econbiz.de/10000555678