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subject:"LIBOR market model"
~person:"Gogala, Jaka"
~person:"Lin, Shih-kuei"
~subject:"Optionspreistheorie"
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LIBOR market model
Optionspreistheorie
Interest rate derivative
6
Yield curve
6
Zinsderivat
6
Zinsstruktur
6
Option pricing theory
4
Interest rate
3
Swap
3
Zins
3
Derivat
2
Derivative
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Arbitrage Pricing
1
Arbitrage pricing
1
Bermudan options
1
Callable accreting interest rate swap
1
Constant maturity swap
1
Generalized swap market model
1
Hull and White model
1
Interest rate derivatives
1
Jump risks
1
Kleinste-Quadrate-Methode
1
Least Squares Monte-Carlo
1
Least square Monte Carlo method
1
Least squares method
1
Levi-Civitá equation
1
Markov-functional models
1
Markov-functional models (MFMs)
1
Modellierung
1
Multivariate Verteilung
1
Multivariate distribution
1
Option trading
1
Optionsgeschäft
1
Range Accrual Interest Rate Swap (RAIRS)
1
Range accrual
1
Scientific modelling
1
Stochastic model in continuous time
1
Stochastic process
1
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English
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Gogala, Jaka
Lin, Shih-kuei
Schoenmakers, John
12
Joshi, Mark S.
9
Rebonato, Riccardo
8
Grbac, Zorana
6
Schlögl, Erik
6
Almeida, Caio
5
Belomestny, Denis
5
Chen, Son-nan
5
Eberlein, Ernst
5
Papapantoleon, Antonis
5
Ritchken, Peter H.
5
Bhar, Ramaprasad
4
Björk, Tomas
4
Fanelli, Viviana
4
Karlsson, Patrik
4
Subrahmanyam, Marti G.
4
Svenstrup, Mikkel
4
Vicente, José Valentim Machado
4
Wu, Ting-pin
4
Yasuoka, Takashi
4
Baaquie, Belal E.
3
Backwell, Alex
3
Beyna, Ingo
3
Branger, Nicole
3
Chen, Zhanyu
3
Chiarella, Carl
3
Christiansen, Charlotte
3
Dang, Duy-Minh
3
Das, Sanjiv R.
3
Das, Sanjiv Ranjan
3
De Simone, Antonio
3
Doffou, Ako
3
Fabozzi, Frank J.
3
Fornari, Fabio
3
Gerhart, Christoph
3
Gnoatto, Alessandro
3
Henrard, Marc P. A.
3
Jain, Shashi
3
Kolodko, Anastasia
3
Landén, Camilla
3
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The North American journal of economics and finance : a journal of financial economics studies
2
International journal of theoretical and applied finance
1
International review of financial analysis
1
The journal of computational finance
1
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1
Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao
;
Hsieh, Chang-Chieh
;
Huang, Zi-Wei
;
Lin, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
Saved in:
2
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
3
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:
4
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
5
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
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