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Aspects of term structure modelling : implementation and default risk
Schlögl, Lutz - 2001
Persistent link: https://www.econbiz.de/10001576732
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Extended libor market models : derivatives pricing, implementation, and calibration
Zühlsdorff, Christian - 2002
Persistent link: https://www.econbiz.de/10001678903
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Interest rate dynamics, derivatives pricing, and risk management
Chen, Lin - 1996
Persistent link: https://www.econbiz.de/10013278137
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Essays in term structure and credit spread models
Fan, Rong - 2002
Persistent link: https://www.econbiz.de/10003776097
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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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
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The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Equity Options, Credit Default Swaps and Leverage : A Simple Stochastic-Volatility Model for Equity and Credit Derivatives
Barone, Gaia - 2012
terms of a single perpetual-bond equivalent issue, we define leverage, show the stochastic nature of equity volatility and … the leverage parameter L and make use of the univariate normal distribution function, are consistent with the volatility …
Persistent link: https://www.econbiz.de/10013114821
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Exponential Lévy models extended by a jump to default
Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228
Persistent link: https://www.econbiz.de/10010187668