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~person:"Eddahbi, M'hamed"
~person:"Kercheval, Alec"
~subject:"Yield curve"
~subject:"Zinsstruktur"
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Yield curve
Zinsstruktur
Option pricing theory
2
Optionspreistheorie
2
Stochastic process
2
Stochastischer Prozess
2
Credit risk
1
Derivat
1
Derivative
1
Greece
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Greeks and sensitivity analysis
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Griechenland
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Kreditrisiko
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Lévy LIBOR model
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Lévy processes
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Malliavin calculus
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Modellierung
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Scientific modelling
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Sensitivity analysis
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Sensitivitätsanalyse
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affine processes
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fast Fourier transform
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time-inhomogeneous Lévy processes
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Eddahbi, M'hamed
Kercheval, Alec
Eberlein, Ernst
3
Gerhart, Christoph
2
Akahori, Jirô
1
Benth, Fred Espen
1
Biagini, Francesca
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Bojarčenko, Svetlana I.
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Bregman, Julia
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Budhi Arta Surya
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Cherif, Sidi Mohamed Lalaoui Ben
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Chiu, Chun-Yuan
1
Levendorskij, Sergej Z.
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Lütkebohmert-Holtz, Eva
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Applied mathematical finance
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ECONIS (ZBW)
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
2
Computation of Greeks in LIBOR models driven by time : inhomogeneous
Lévy
processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
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