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Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10010363925

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

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The Q-measure dynamics of forward rates

Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522

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Die Bewertung von Zinsoptionen

Walter, Ulrich - 1996

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Arbitragefreie Bewertung von Zinsderivaten

Heitmann, Frank - 1997

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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