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subject:"Zinsstruktur"
~person:"Chan, Wai-Sum"
~person:"Joshi, Mark S."
~type_genre:"Aufsatz in Zeitschrift"
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Zinsstruktur
Interest rate derivative
5
Yield curve
5
Zinsderivat
5
Option pricing theory
3
Optionspreistheorie
3
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Swap
2
USA
2
United States
2
1991-2006
1
Bermudan options
1
Bermudan products
1
Currency derivative
1
Derivat
1
Derivative
1
Greece
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Griechenland
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Hessian
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LIBOR market model
1
Risikoprämie
1
Risk premium
1
Simulation
1
Theorie
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Theory
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Währungsderivat
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automatic differentiation
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exercise strategy
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measure changes
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sensitivity analysis
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Aufsatz in Zeitschrift
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Chan, Wai-Sum
Joshi, Mark S.
Chen, Son-nan
7
Ito, Takayasu
6
Wu, Ting-pin
6
Chiarella, Carl
5
Rebonato, Riccardo
5
Akram, Tanweer
4
Eberlein, Ernst
4
Hull, John
4
Lin, Shih-kuei
4
Mamun, Khawaja Abdullah al
4
Subrahmanyam, Marti G.
4
White, Alan
4
Backwell, Alex
3
Chen, Ren-Raw
3
Das, Sanjiv R.
3
Fang, Victor
3
Filipović, Damir
3
Jarrow, Robert A.
3
Lekkos, Ilias
3
Li, Haitao
3
Milas, Costas
3
Novales, Alfonso
3
Papapantoleon, Antonis
3
Pelsser, Antoon André Jean
3
Schoenmakers, John
3
Skovmand, David
3
Trolle, Anders B.
3
Andersen, Leif B. G.
2
Batten, Jonathan A.
2
Baviera, Roberto
2
Ben-Abdallah, Ramzi
2
Bhar, Ramaprasad
2
Bouchaud, Jean-Philippe
2
Breton, Michèle
2
Brigo, Damiano
2
Brooks, Robert
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The journal of computational finance
2
International journal of theoretical and applied finance
1
International review of financial analysis
1
Research in finance
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ECONIS (ZBW)
5
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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:
2
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
3
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
Saved in:
4
Impact of credit spreads, monetary policy and convergence trading on swap spreads
Chung, Hon-lun
;
Chan, Wai-Sum
- In:
International review of financial analysis
19
(
2010
)
2
,
pp. 118-126
Persistent link: https://www.econbiz.de/10008669492
Saved in:
5
Modelling the US swap spread
Chung, Hon-lun
;
Chan, Wai-Sum
;
Batten, Jonathan A.
- In:
Research in finance
26
(
2010
),
pp. 155-181
Persistent link: https://www.econbiz.de/10009241013
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