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The affine inflation market mo...
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1
CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten
;
Zabczyk, Jerzy
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
Saved in:
2
Arbitrage-free neural-SDE market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10014390284
Saved in:
3
A flexible matrix Libor model with smiles
Da Foncesca, José
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
Saved in:
4
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
5
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
6
Coherent foreign exchange market models
Gnoatto, Alessandro
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011686817
Saved in:
7
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
8
Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio
;
Grbac, Zorana
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
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9
The eurozone (expected)
inflation
: an option's eyes view
Gimeno, Ricardo
;
Ibáñez, Alfredo
- In:
Journal of international money and finance
86
(
2018
),
pp. 70-92
Persistent link: https://www.econbiz.de/10012000473
Saved in:
10
The eurozone (expected)
inflation
: an option's eyes view
Gimeno, Ricardo
;
Ibáñez, Alfredo
-
2017
Persistent link: https://www.econbiz.de/10011784414
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