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~isPartOf:"Economics discussion paper series / Loughborough University, Department of Economics"
~isPartOf:"The journal of computational finance"
~subject:"Estimation"
~subject:"Swap"
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25
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Option pricing theory
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Economics discussion paper series / Loughborough University, Department of Economics
The journal of computational finance
International journal of theoretical and applied finance
9
Working papers / The Levy Economics Institute
8
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7
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6
International review of financial analysis
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
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:
4
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:
5
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
6
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
7
Forecasting interest rate swap spreads using domestic and international risk factors : evidence from linear and non-linear models
Lekkos, Ilias
(
contributor
);
Milas, Costas
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003332090
Saved in:
8
On the predictability of common risk factors in the US and UK interest rate swap markets : evidence from non-linear and linear models
Lekkos, Ilias
(
contributor
);
Milas, Costas
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003332063
Saved in:
9
The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
Saved in:
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