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~isPartOf:"European journal of operational research : EJOR"
~person:"Fanelli, Viviana"
~person:"Hull, John"
~subject:"Interest rate derivative"
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Interest rate derivative
Option pricing theory
3
Optionspreistheorie
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Yield curve
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Zinsstruktur
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Credit risk
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Kreditrisiko
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Arbitrage-free models
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Euler-Maruyama stochastic integral approximation
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Multi-curve term structure modelling
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Fanelli, Viviana
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European journal of operational research : EJOR
Journal of investment management : JOIM
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Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
2
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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