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isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"The journal of computational finance"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
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Interest rate derivative
41
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Option pricing theory
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Pelsser, Antoon André Jean
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Report / Erasmus Center for Financial Research, Erasmus University
The journal of computational finance
Working paper / National Bureau of Economic Research, Inc.
The journal of futures markets
137
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
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25
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
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International review of financial analysis
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Interest rate futures : concepts and issues
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ECONIS (ZBW)
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1
Benchmark interest rates when the government is risky
Augustin, Patrick
;
Chernov, Mikhail
;
Schmid, Lukas
; …
-
2019
Persistent link: https://www.econbiz.de/10012136990
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2
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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3
Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas
;
Weber, Michael
-
2016
Persistent link: https://www.econbiz.de/10011585385
Saved in:
4
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
5
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
6
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
7
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
8
Banks' risk exposures
Begenau, Juliane
;
Piazzesi, Monika
;
Schneider, Martin
-
2015
Persistent link: https://www.econbiz.de/10011308062
Saved in:
9
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
10
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
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