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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

Pricing interest-rate derivatives : a fourier-transform based approach

Bouziane, Markus - 2008

Persistent link: https://www.econbiz.de/10003571605

Pricing interest rate derivatives with model risk

Hosokawa, Satoshi; Matsumoto, Koichi - In: Journal of financial engineering 2 (2015) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10010528390

Accelerating pathwise Greeks in the LIBOR market model

Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10009624523

LIBOR versus OIS : the derivatives discounting dilemma

Hull, John; White, Alan - In: Journal of investment management : JOIM 11 (2013) 3, pp. 14-27

Persistent link: https://www.econbiz.de/10010196008

A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161

Persistent link: https://www.econbiz.de/10011441273

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

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

Non-parametric pricing of interest rates options

Mauad, Roberto Baltieri; Laurini, Márcio Poletti - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 201-240

Persistent link: https://www.econbiz.de/10011538557

A binomial approximation for two-state Markovian HJM models

Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Review of derivatives research 14 (2011) 1, pp. 37-65

Persistent link: https://www.econbiz.de/10009272493