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Electricity futures price modeling with Lévy term structure models

Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011403170

[Rezension von: Rebonato, Riccardo, Modern pricing of interest-rate derivatives, the LIBOR market model and beyond]

Das, Sanjiv R. - In: Journal of economic literature 42 (2004) 2, pp. 528-529

Persistent link: https://www.econbiz.de/10002166536

Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model

Jensen, Malene Shin; Svenstrup, Mikkel - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 20-33

Persistent link: https://www.econbiz.de/10003010725

Empirical studies on the pricing of bonds and interest rate derivatives

Driessen, Joost Johannes Arnold Gerardus - 2001

Persistent link: https://www.econbiz.de/10001688435

Pricing interest rate derivatives in a non-parametric two-factor term-structure model

Knight, John L.; Li, Fuchun; Yuan, Mingwei - 1999

Persistent link: https://www.econbiz.de/10001429788

Efficient control variates and strategies for Bermudan swaptions in a libor market model

Jensen, Malene Shin; Svenstrup, Mikkel - 2002

Persistent link: https://www.econbiz.de/10001746714

Zinsderivate : Modelle und Bewertung

Branger, Nicole; Schlag, Christian - 2004

Persistent link: https://www.econbiz.de/10001950067

Estimating the term structure of interest rates and pricing of interest rate derivatives

Meier, Iwan - 2000

Persistent link: https://www.econbiz.de/10001547188

LIBOR market models in practice

Sidenius, Jakob - In: The journal of computational finance 3 (2000) 3, pp. 5-26

Persistent link: https://www.econbiz.de/10001517424

Pricing Interest Rate Derivatives Under Different Interest Rate Modeling : A Critical and Empirical Comparison

De Simone, Antonio - 2011

This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model has become almost a trivial task. However, their use is not always possible, so that the problem of...

Persistent link: https://www.econbiz.de/10013130645