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Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575

Implementation of a One-Factor Markov-Functional Interest Rate Model

Truchot, Baptiste - 2016

calculating derivative prices.After a general overview of the two dominant paradigms in section III, this report will focus on the …

Persistent link: https://www.econbiz.de/10012998946

Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach

Bouziane, Markus (contributor) - 2008

This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...

Persistent link: https://www.econbiz.de/10013520918

The impact of stochastic volatility on initial margin and MVA for interest rate derivatives

Hoencamp, J. H.; Kort, J. P. de; Kandhai, B. D. - In: Applied mathematical finance 29 (2022) 2, pp. 141-179

Persistent link: https://www.econbiz.de/10013554796

Zinsderivate : Modelle und Bewertung

Branger, Nicole; Schlag, Christian - 2004

zinsstrukturkonformen Ansätzen und den aktuell diskutierten LIBOR-Market-Modellen. Bei der Darstellung wird stets großer Wert auf die …: Arbitragebewertung Derivatebewertung Derivative Finanzinstrumente Finance Zinsderivate Zinsmodelle Zinsstrukturen …