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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Analytical pricing of European bond options within one-factor quadratic term structure models
Leblon, Grégoire; Moraux, Franck - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 29-41
Persistent link: https://www.econbiz.de/10011687340
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Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 4, pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015
Persistent link: https://www.econbiz.de/10011777512
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Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan - In: Applied mathematical finance 23 (2016) 5/6, pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777909
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Bank lending and interest-rate derivatives
Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011781357
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OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Hull, John; White, Alan - In: Journal of investment management : JOIM 13 (2015) 1, pp. 64-83
Persistent link: https://www.econbiz.de/10011635240
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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Real rate swaption and zero coupon inflation index swaption
Kamtchueng, Christian - In: International journal of bonds and derivatives 3 (2017) 1, pp. 21-43
Persistent link: https://www.econbiz.de/10011807756