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subject:"Volatility"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Zinsderivat"
~subject:"Öffentliche Anleihe"
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Search: subject_exact:"LIBOR-Markt-Modell"
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Volatility
Zinsderivat
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of banking & finance
60
Journal of international money and finance
57
International journal of theoretical and applied finance
41
The journal of fixed income
40
NBER working paper series
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The journal of futures markets
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Working paper / National Bureau of Economic Research, Inc.
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Working paper series / European Central Bank
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of finance : the journal of the American Finance Association
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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1
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
2
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
3
An efficient lattice algorithm for the LIBOR market model
Xiao, Tim
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
Saved in:
4
Modifying the LMM to price constant maturity swaps
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
Saved in:
5
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
6
A multi-factor cross-currency LIBOR market mode
Benner, Wolfgang
;
Zyapkov, Lyudmil
;
Jortzik, Stephan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003862783
Saved in:
7
Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
Benth, Fred Espen
;
Koekebakker, Steen
;
Ollmar, Fridthjof
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 52-66
Persistent link: https://www.econbiz.de/10003611427
Saved in:
8
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin
;
Svenstrup, Mikkel
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Saved in:
9
Pricing Asian-style interest rate swaps
Chang, Chuang-Chang
;
Chung, San-Lin
- In:
The journal of derivatives : the official publication …
9
(
2002
)
4
,
pp. 45-55
Persistent link: https://www.econbiz.de/10001708447
Saved in:
10
Testing the volatility term structure using option hedging criteria
Engle, Robert F.
;
Rosenberg, Joshua V.
- In:
The journal of derivatives : the official publication …
8
(
2000
)
1
,
pp. 10-28
Persistent link: https://www.econbiz.de/10001522314
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