Similar Search Results - EconBiz

Die Bewertung von Zinsoptionen

Walter, Ulrich - 1996

Persistent link: https://www.econbiz.de/10000560789

Arbitragefreie Bewertung von Zinsderivaten

Heitmann, Frank - 1997

Persistent link: https://www.econbiz.de/10000959293

A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

Persistent link: https://www.econbiz.de/10003635097

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

Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions

Ametrano, Ferdinando M. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003797794

Estimating LIBOR swaps spot-volatilities : the EpiVolatility model

Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004

Persistent link: https://www.econbiz.de/10003487959

Managing interest rate volatility risk : key rate vega

Ho, Thomas S. Y. - In: The journal of fixed income 17 (2007) 3, pp. 6-17

Persistent link: https://www.econbiz.de/10003687329

Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach

Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 17 (2007) 3, pp. 18-37

Persistent link: https://www.econbiz.de/10003687350

Essays in financial economics

Lu, Yinqiu - 2005

Persistent link: https://www.econbiz.de/10003553447

Libor Market Models with stochastic volatility and CMS spread option pricing

Lutz, Matthias - 2011

Persistent link: https://www.econbiz.de/10009375797

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