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  • Search: subject:"Derivative pricing models"
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Year of publication
Subject
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Derivative pricing models 8 Derivat 3 Derivative 3 Option pricing theory 3 Optionspreistheorie 3 Applied mathematical finance 2 Derivatives hedging 2 Derivatives pricing 2 Energy derivatives 2 Financial mathematics 2 Mathematical finance 2 Stochastic process 2 Stochastischer Prozess 2 Swap 2 Volatility 2 Volatilität 2 derivative pricing models 2 (coherent) risk management 1 Arbitrage 1 Asset pricing 1 Asset pricing models 1 Asymmetry 1 Bermudan swaptions 1 CAPM 1 Continuous time models 1 Copulas 1 Derivatives risk management 1 Downward volatility jumps 1 Econophysics 1 Electronic trading 1 Elektronisches Handelssystem 1 Empirical time series analysis 1 Equilibrium 1 Financial engineering 1 Financial modelling 1 Financial simulation 1 Finanzmathematik 1 High frequency traders 1 Interest rate derivative 1 LIBOR market model 1
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Online availability
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Undetermined 10 Free 1
Type of publication
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Article 10 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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Undetermined 8 English 3
Author
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Amengual, Dante 1 Benth, Fred Espen 1 Eckstaedt, Fabian 1 Fries, Christian 1 Hambly, Ben 1 Howison, Sam 1 Isaenko, Sergei 1 Jain, Shashi 1 Jarrow, Robert A. 1 Joshi, Mark 1 Karlsson, Patrik 1 Kerkhof, F.L.J. 1 Kettler, Paul 1 Kluge, Tino 1 Laurence, Peter 1 Manchaldore, Jaisimha 1 Melenberg, Bertrand 1 Oosterlee, Cornelis Willebrordus 1 Palit, Imon 1 Schumacher, Johannes M. 1 Soloviev, Oleg 1 Stacey, Alan 1 Wang, Sheng-Li 1 Wang, Tai-Ho 1 Xiu, Dacheng 1
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Institution
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Tilburg University, Center for Economic Research 1
Published in...
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Quantitative Finance 7 Discussion Paper / Tilburg University, Center for Economic Research 1 Finance research letters 1 International journal of financial engineering 1 Journal of econometrics 1
Source
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RePEc 8 ECONIS (ZBW) 3
Showing 11 - 11 of 11
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New and robust drift approximations for the LIBOR market model
Joshi, Mark; Stacey, Alan - In: Quantitative Finance 8 (2008) 4, pp. 427-434
We present four new methods for approximating the drift in the LIBOR market model when performing very long steps. These are compared with a variety of existing methods, including PPR, Glasserman-Zhao and predictor-corrector. We find that two of them, which use correlation adjustments to better...
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