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Improving the term structure of interest rates : two-factor models

Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287

Persistent link: https://www.econbiz.de/10008702343

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

An analytical approximation for European option prices under stochastic interest rates

Funahashi, Hideharu - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-43

Persistent link: https://www.econbiz.de/10011403778

Application of maximum likelihood estimation to stochastic short rate models

Fergusson, Kevin; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344233

Application of maximum likelihood estimation to stochastic short rate models

Fergusson, Kevin; Platen, Eckhard - In: Annals of financial economics 10 (2015) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011408524

A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

Persistent link: https://www.econbiz.de/10003635097