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Review of derivatives research
NBER working paper series
265
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221
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211
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140
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ECONIS (ZBW)
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1
Deep calibration of financial models : turning theory into practice
Büchel, Patrick
;
Kratochwil, Michael
;
Nagl, Maximilian
; …
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
Saved in:
2
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
3
CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz
;
Rakhmonov, Firuz
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 283-291
Persistent link: https://www.econbiz.de/10013457623
Saved in:
4
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
5
Bermudan option in Singapore Savings Bonds
Lim, Kian-Guan
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 31-54
Persistent link: https://www.econbiz.de/10012498470
Saved in:
6
Yield curves from different bond data sets
Díaz Pérez, Antonio
;
Jareño, Francisco
;
Navarro …
- In:
Review of derivatives research
23
(
2020
)
2
,
pp. 191-226
Persistent link: https://www.econbiz.de/10012229792
Saved in:
7
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
8
Tempered stable structural model in pricing credit spread and credit default swap
Kim, Sung Ik
;
Kim, Young Shin
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 119-148
Persistent link: https://www.econbiz.de/10012055733
Saved in:
9
Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Rathgeber, Andreas W.
;
Rudolph, David
;
Stöckl, Stefan
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 107-143
Persistent link: https://www.econbiz.de/10011477291
Saved in:
10
The impact of quantitative easing on the US term structure of interest rates
Jarrow, Robert A.
;
Li, Hao
- In:
Review of derivatives research
17
(
2014
)
3
,
pp. 287-321
Persistent link: https://www.econbiz.de/10011293077
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