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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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Minimum return guarantees with funds switching rights : an optimal stopping problem
Mahayni, Antje; Schoenmakers, John - 2010
Persistent link: https://www.econbiz.de/10008656668
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - 2011
Persistent link: https://www.econbiz.de/10009152332
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Generalized Post-Widder inversion formula with application to statistiscs
Belomestny, Denis; Mai, Hilmar; Schoenmakers, John - 2015
Persistent link: https://www.econbiz.de/10011443256
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Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-49
Persistent link: https://www.econbiz.de/10003234943
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A new Monte Carlo method for American options
Milʹstejn, Grigorij N.; Reiß, O.; Schoenmakers, John - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
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Endogenous interest rate dynamics in asset markets
Reiß, Oliver (contributor); Schoenmakers, John (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001593794
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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
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Fast valuation of financial derivatives
Schoenmakers, John; Heemink, A. W. - In: The journal of computational finance 1 (1997) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10001633173