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Term structure movements implicit in option prices
Almeida, Caio (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003421823
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Term structure models of interest rates with jump-diffusion information : equilibrium, CAPM, and derivative asset pricing
Kusuda, Koji - 2003
Persistent link: https://www.econbiz.de/10003379037
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A hybrid commodity and interest rate
Pilz, K. F.; Schlögl, Erik - 2009
Persistent link: https://www.econbiz.de/10008662358
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009
Persistent link: https://www.econbiz.de/10008662364
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Asset pricing and portfolio choice theory
Back, Kerry E. - 2010
Persistent link: https://www.econbiz.de/10008662772
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Valuation of volatility sensitive interest rate derivatives in an emerging market
Witzany, Jiří - In: International journal of financial markets and derivatives 1 (2010) 4, pp. 438-451
Persistent link: https://www.econbiz.de/10008665631
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A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
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Pricing interest rate derivates under different interest rate modeling : a critical and empirical comparison
De Simone, Antonio - In: Investment management and financial innovations 7 (2010) 2, pp. 49-58
Persistent link: https://www.econbiz.de/10003968762
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Valuación de opciones sobre índices bursátiles y determinación de la estructura de plazos de la tasa de interés en un modelo de equilibrio general
Ángeles Castro, Gerardo; Venegas-Martínez, Francisco - In: Investigación económica : revista de la Faculdad de … 69 (2010), pp. 43-80
Persistent link: https://www.econbiz.de/10003969036
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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397