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subject:"Zinsstruktur"
~person:"Fanelli, Viviana"
~person:"Musti, Silvana"
~person:"Wissmann, Rasmus"
~subject:"Zinsderivat"
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Zinsstruktur
Zinsderivat
Analysis
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Euler-Maruyama stochastic integral approximation
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Fanelli, Viviana
Musti, Silvana
Wissmann, Rasmus
Chiarella, Carl
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2
Leitner, Johannes
2
Su, Fei
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
European journal of operational research : EJOR
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ECONIS (ZBW)
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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:
2
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
3
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
4
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
Saved in:
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