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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~person:"Bianchetti, Marco"
~person:"Chen, Son-nan"
~person:"White, Alan"
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Interest rate derivative
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Yield curve
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Bianchetti, Marco
Chen, Son-nan
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Wu, Ting-pin
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Interest rate modelling after the financial crisis
3
Journal of investment management : JOIM
2
The journal of futures markets
2
Advances in futures and options research : a research annual
1
International journal of economics and finance
1
Journal / The Capco Institute : journal of financial transformation
1
Journal of Financial Transformation
1
Journal of financial and quantitative analysis : JFQA
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The journal of fixed income
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The review of financial studies
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ECONIS (ZBW)
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1
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
2
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
3
Modifying the LMM to price constant maturity swaps
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
Saved in:
4
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
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