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Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods

Hok, Julien; Tan, Shih-Hau - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 609-637

Persistent link: https://www.econbiz.de/10012127281

Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model

Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98

Persistent link: https://www.econbiz.de/10011298899

A multiple-curve Lévy forward rate model in a two-price economy

Eberlein, Ernst; Gerhart, Christoph - In: Quantitative finance 18 (2018) 4, pp. 537-561

Persistent link: https://www.econbiz.de/10011906431

CMS, CMS spreads and similar options in the multi-factor HJM framework

Hanton, Pierre; Henrard, Marc - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-18

Persistent link: https://www.econbiz.de/10009685893

Pricing kernel factorization and recovery theorem

Diffouo, Pauline M. Ngugnie; Noupoue, Yves Y. Yameni - In: International journal of financial engineering 7 (2020) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10012603067

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66

Persistent link: https://www.econbiz.de/10014474576

Lévy interest rate models with a long memory

Hainaut, Donatien - In: Risks : open access journal 10 (2022) 1, pp. 1-28

This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein-Uhlenbeck process in which the exponential decaying kernel is replaced by a Mittag-Leffler function. Based...

Persistent link: https://www.econbiz.de/10012804840

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Explicit approximate analytic formulas for timer option pricing with stochastic interest rates

Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21

Persistent link: https://www.econbiz.de/10011539653

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