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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Arbitrage Pricing"
~subject:"Interest rate derivative"
~type_genre:"Working Paper"
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Arbitrage Pricing
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Zinsderivat
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Schlögl, Erik
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
SSE EFI working paper series in economics and finance
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9
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
2
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
3
Hedging futures options with stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778107
Saved in:
4
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
5
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
6
A note on the bias of using futures rates as a proxy for the instantaneous forward rate
Tô, Thuy-duong
-
2004
Persistent link: https://www.econbiz.de/10002721679
Saved in:
7
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
Saved in:
8
Correlating market models
Choy, Bruce
;
Dun, Tim
;
Schlogl, Erik
-
2003
Persistent link: https://www.econbiz.de/10002250905
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