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New methods in fixed income modeling : fixed income modeling
15
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ECONIS (ZBW)
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Term structure, market expectations of the short rate, and expected inflation
Luo, Jian
;
Ye, Xiaoxia
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 3-34)
.
2018
Persistent link: https://www.econbiz.de/10012011569
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2
A new approach to CIR short-term rates modelling
Orlando, Giuseppe
;
Mininni, Rosa Maria
;
Bufalo, Michele
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 35-43)
.
2018
Persistent link: https://www.econbiz.de/10012011576
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3
The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 45-59)
.
2018
Persistent link: https://www.econbiz.de/10012011578
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4
Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Di Persio, Luca
;
Gugole, Nicola
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 61-83)
.
2018
Persistent link: https://www.econbiz.de/10012011579
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5
An overview of post-crisis term structure models
Martin, Marcus R. W.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 85-97)
.
2018
Persistent link: https://www.econbiz.de/10012011580
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6
A comparison of estimation techniques for the Covariance matrix in a fixed-income framework
Neffelli, Marco
;
Resta, Marina
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 99-115)
.
2018
Persistent link: https://www.econbiz.de/10012011581
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7
The term structure under non-linearity assumptions : new methods in time series
Vides, José Carlos
;
Iglesias, Jesús
;
Golpe, Antonio A.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 117-136)
.
2018
Persistent link: https://www.econbiz.de/10012011640
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8
Affine type analysis for BESQ and CIR processes with applications to mathematical finance
Di Persio, Luca
;
Prezioso, Luca
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 137-148)
.
2018
Persistent link: https://www.econbiz.de/10012011642
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9
Sensitivity analysis and hedging in stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 151-167)
.
2018
Persistent link: https://www.econbiz.de/10012011646
Saved in:
10
Hedging Asian bond options with Malliavin calculus under stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 169-180)
.
2018
Persistent link: https://www.econbiz.de/10012011647
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