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Kang, Jangkoo; Park, Hyoung-Jin - In: Pacific-Basin finance journal 14 (2006) 4, pp. 410-425

Persistent link: https://www.econbiz.de/10003365509

On the relationship of bond and stock markets and its applications to actuarial science

Depner, Eduard (contributor) - 2000

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A Libor market model with default risk

Schönbucher, Philipp J. - 2001

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Lognormal approximations to Libor market models

Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100

Persistent link: https://www.econbiz.de/10001704745

Spezielle Zinskurven - zeitdiskrete Modelle für Zinsstrukturkurven

Schlüchtermann, Georg - In: Investmentmodelle für das Asset-liability-Modelling …, (pp. 285-317). 2001

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The expectations hypothesis with non-negative rates

Griffin, Philip S. - In: Finance and stochastics 6 (2002) 2, pp. 265-271

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Credit risk : modeling, valuation and hedging

Bielecki, Tomasz R.; Rutkowski, Marek - 2002

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A filtered no arbitrage model for term structures from noisy data

Gombani, Andrea; Jaschke, Stefan R.; Runggaldier, … - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2002

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Kapitalmarktmodelle zur Bestimmung erwarteter Renditen festverzinslicher Wertpapiere

Langewand, Jens - 2000

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Lognormal random field approximations to LIBOR market models

Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]

We study several approximations for the LIBOR market models presented in Brace, Gatarek, Musiela (1997), Jamshidian (1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random...

Persistent link: https://www.econbiz.de/10001544522