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Interest rate dynamics, derivatives pricing, and risk management

Chen, Lin - 1996

Persistent link: https://www.econbiz.de/10013278137

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

Persistent link: https://www.econbiz.de/10011538865

Understanding and managing interest rate risks

Chen, Ren-Raw - 1996

Persistent link: https://www.econbiz.de/10000620475

An n-dimensional Markov-functional interest rate model

Kaisajuntti, Linus; Kennedy, Joanne E. - In: The journal of computational finance 17 (2013) 1, pp. 3-41

Persistent link: https://www.econbiz.de/10010337822

Non-negativity of nominal and real riskless rates, arbitrage theory, and the null-alternative cash

Nietert, Bernhard (contributor); Wilhelm, Jochen (contributor) - 2004

Persistent link: https://www.econbiz.de/10002184410

Robust libor modelling and pricing of derivative products

Schoenmakers, John - 2005

Persistent link: https://www.econbiz.de/10001984160

Non-negativity of nominal and real riskless rates, arbitrage theory, and the null-alternative cash

Nietert, Bernhard (contributor); Wilhelm, Jochen (contributor) - 2004

Persistent link: https://www.econbiz.de/10002147124

Markov-functional interest rate models

Hunt, Phil J.; Kennedy, Joanne; Pelsser, Antoon André Jean - In: Finance and stochastics 4 (2000) 4, pp. 391-408

Persistent link: https://www.econbiz.de/10001538325

Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure

Schoenmakers, John (contributor); Coffey, Brian (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001544421

LIBOR rate models, related derivatives and model calibration

Schoenmakers, John (contributor); Coffey, Brian (contributor) - 1999 - [Elektronische Ressource]

Based on Jamshidians framework a general strategy for the quasi-analytical valuation of large classes of LIBOR derivatives will be developed. As a special case we will address the quasi-analytical approximation formula for swaptions of Brace Gatarek and Musiela and show that a similar formula...

Persistent link: https://www.econbiz.de/10001545438