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person:"Arak, Marcelle V."
~person:"Mercurio, Fabio"
~person:"White, Alan"
~type_genre:"Aufsatz in Zeitschrift"
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Arak, Marcelle V.
Mercurio, Fabio
White, Alan
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9
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ECONIS (ZBW)
13
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1
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10
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1
OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Hull, John
;
White, Alan
- In:
Journal of investment management : JOIM
13
(
2015
)
1
,
pp. 64-83
Persistent link: https://www.econbiz.de/10011635240
Saved in:
2
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
Saved in:
3
Modern LIBOR market models : using different curves for projecting rates and for discounting
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10008860420
Saved in:
4
A family of humped volatility models
Mercurio, Fabio
;
Moraleda Novo, Juan Manuel
- In:
The European journal of finance
7
(
2001
)
2
,
pp. 93-116
Persistent link: https://www.econbiz.de/10001603191
Saved in:
5
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John
;
White, Alan
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Saved in:
6
Do daily price limits act as magnets? : The case of treasury bond futures
Arak, Marcelle V.
- In:
Journal of financial services research : JFSR
12
(
1997
)
1
,
pp. 5-20
Persistent link: https://www.econbiz.de/10001227785
Saved in:
7
Bond option pricing based on a model for the evolution of bond prices
Hull, John
- In:
Advances in futures and options research : a research annual
6
(
1993
),
pp. 1-13
Persistent link: https://www.econbiz.de/10001145857
Saved in:
8
One-factor interest-rate models and the valuation of interest-rate derivative securities
Hull, John
- In:
Journal of financial and quantitative analysis : JFQA
28
(
1993
)
2
,
pp. 235-254
Persistent link: https://www.econbiz.de/10001149611
Saved in:
9
Pricing interest-rate-derivative securities
Hull, John
- In:
The review of financial studies
3
(
1990
)
4
,
pp. 573-592
Persistent link: https://www.econbiz.de/10001105890
Saved in:
10
Treasury bond futures : valuing the delivery options
Arak, Marcelle V.
- In:
The journal of futures markets
7
(
1987
)
3
,
pp. 269-286
Persistent link: https://www.econbiz.de/10001149625
Saved in:
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