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A parsimonious multi-asset Heston model : calibration and derivative pricing

Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333

Persistent link: https://www.econbiz.de/10009541994

Correlation asymmetry and implication on hedging

Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011862371

A fundamental approach to corporate bond options

Simozar, Saied - In: International journal of financial engineering 11 (2024) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10014574997

The Q-measure dynamics of forward rates

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

Persistent link: https://www.econbiz.de/10014426352

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

Korn, Ralf; Liang, Qian - In: The journal of computational finance 17 (2013/2014) 3, pp. 87-110

Persistent link: https://www.econbiz.de/10010366276

Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts

Melʹnikov, Aleksandr V.; Nosrati, Amir - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-28

Persistent link: https://www.econbiz.de/10011404363

Theory of derived development : an alternative view of India's development experience

Moorthy, U. N. - In: Emerging issues of Indian economic development, (pp. 22-42). 2001

Persistent link: https://www.econbiz.de/10001690787

Derivatives, the shape of international capital flows and the virtues of prudential regulation

Dodd, Randall - 2002

Persistent link: https://www.econbiz.de/10001712129

Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model

Karlsson, Patrik - 2015

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo...

Persistent link: https://www.econbiz.de/10013022125

Portfolio Insurance Contracts Linked to Hedge Funds

Ezzili, Chekib - 2016

We provide a quite general framework for pricing CPPI contracts linked to hedge funds, assessing the gap risk proper to this payoff. We enrich our framework while assuming the existence of a lag between the current estimated NAV and the executed NAV

Persistent link: https://www.econbiz.de/10012985854

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