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Interpolation schemes in the displaced-diffusion libor market

Beveridge, Christopher; Joshi, Mark S. - 2009

Persistent link: https://www.econbiz.de/10003924341

The pricing and hedging of structured notes with systematic jump risk : an analysis of the USD knock-out reversed swap

Wang, Shin-yun; Lin, Shih-kuei - In: International review of economics & finance : IREF 19 (2010) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10003927984

Are interest rate options important for the assessment of interest rate risk?

Almeida, Caio; Vicente, José Roberto - In: Journal of banking & finance 33 (2009) 8, pp. 1376-1387

Persistent link: https://www.econbiz.de/10003855482

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

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

Libor Market Models with stochastic volatility and CMS spread option pricing

Lutz, Matthias - 2011

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

New methodologies in the valuation of interest rate options

Doffou, Ako - In: The international journal of finance 22 (2010) 4, pp. 6544-6562

Persistent link: https://www.econbiz.de/10009378856

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

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

On the term structure of futures and forward prices

Björk, Tomas; Landén, Camilla - 2000 - Rev. December 20, 2000

We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the...

Persistent link: https://www.econbiz.de/10009502719

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