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  • Search: subject:"COS method"
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Year of publication
Subject
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COS method 4 Option pricing theory 3 Optionspreistheorie 3 Derivat 2 Derivative 2 Interest rate 2 Interest rate derivative 2 Yield curve 2 Zins 2 Zinsderivat 2 Zinsstruktur 2 Affine jump-diffusion 1 Analysis 1 CIR model 1 Central bank 1 Correlation 1 Estimation theory 1 Fourier Series 1 GMMB 1 Geldpolitik 1 Generalised regime-switching model 1 Hedging 1 Interest rate derivatives 1 Interest rate policy 1 Korrelation 1 Mathematical analysis 1 Monetary policy 1 Option trading 1 Optionsgeschäft 1 Ratchet options 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Variable annuity contracts 1 Volatility 1 Volatilität 1 Zentralbank 1 Zinspolitik 1 affine jump-diffusion 1 central bank 1
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Online availability
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Free 4 CC license 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 4
Author
All
Baczynski, Jack 3 Silva, Allan Jonathan da 3 Vicente, José Valentim Machado 2 Kang, Boda 1 Shen, Yang 1 Zhu, Dan 1 Ziveyi, Jonathan 1
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Published in...
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Economies : open access journal 1 International Journal of Financial Studies : open access journal 1 Série de trabalhos para discussão 1 Working paper 1
Source
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ECONIS (ZBW) 4
Showing 1 - 4 of 4
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A stochastically correlated bivariate square-root model
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions...
Persistent link: https://www.econbiz.de/10014636327
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Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29
models. The AJD-Skellam models are well suited for using the interest rate version of the Fourier-cosine series (COS) method …
Persistent link: https://www.econbiz.de/10014501143
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Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan - 2021
Persistent link: https://www.econbiz.de/10012628839
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Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020
Persistent link: https://www.econbiz.de/10012171315
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