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subject:"Zinsstruktur"
~type_genre:"Konferenzbeitrag"
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Zinsstruktur
Interest rate derivative
4
Option pricing theory
4
Optionspreistheorie
4
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4
Zinsderivat
4
Stochastic process
3
Stochastischer Prozess
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Affine LIBOR models
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deterministic timed jumps
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interest rate derivatives
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Konferenzbeitrag
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Grbac, Zorana
2
Avellaneda, Marco
1
Genaro, Alan de
1
Glau, Kathrin
1
Krief, David
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Papapantoleon, Antonis
1
Russo, Vincenzo
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Computational Management Science : CMS
1
International journal of theoretical and applied finance
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ECONIS (ZBW)
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Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo
;
Torri, Gabriele
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 275-295
Persistent link: https://www.econbiz.de/10011993481
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2
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
3
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
4
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
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