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  • Search: subject:"Heath–Jarrow–Morton"
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Year of publication
Subject
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Yield curve 34 Zinsstruktur 32 Option pricing theory 29 Optionspreistheorie 29 Stochastic process 22 Stochastischer Prozess 22 Volatility 20 Volatilität 20 Heath-Jarrow-Morton 13 Derivat 11 Derivative 11 Heath-Jarrow-Morton framework 11 Heath-Jarrow-Morton model 11 Theorie 10 Theory 10 term structure of interest rates 10 Interest rate derivative 8 Zinsderivat 8 Analysis 6 Interest rate 6 Mathematical analysis 6 Zins 6 Credit derivative 5 Energiemarkt 5 Energy market 5 Kreditderivat 5 Markov chain 5 Markov-Kette 5 Nelson and Siegel model 5 term structure 5 Energy markets 4 Market models 4 Monte Carlo simulation 4 Monte-Carlo-Simulation 4 Option trading 4 Optionsgeschäft 4 Stochastic volatility 4 stochastic volatility 4 yield curve 4 Arbitrage-free term structure dynamics 3
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Online availability
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Undetermined 37 Free 23
Type of publication
All
Article 50 Book / Working Paper 31
Type of publication (narrower categories)
All
Article in journal 31 Aufsatz in Zeitschrift 31 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 7 Working Paper 7 Hochschulschrift 3 Thesis 3 Aufsatz im Buch 2 Book section 2 Article 1 Conference paper 1 Konferenzbeitrag 1
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Language
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English 49 Undetermined 31 German 1
Author
All
Chiarella, Carl 18 Benth, Fred Espen 7 Krippner, Leo 6 Chen, Jun-Home 5 Lian, Yu-Min 5 Musti, Silvana 4 Bhar, Ram 3 Carmona, René 3 Fanelli, Viviana 3 Nadtochiy, Sergey 3 To, Thuy Duong 3 To, Thuy-Duong 3 Alm, Jonas 2 Chege Maina, Samuel 2 Detering, Nils 2 Henrard, Marc 2 Krühner, Paul 2 Lindskog, Filip 2 Maina, Samuel Chege 2 Mari, Carlo 2 Miltersen, K. 2 Nikitopoulos, Christina Sklibosios 2 Nikitopoulos-Sklibosios, Christina 2 Piccirilli, Marco 2 Renò, Roberto 2 Sondermann, D. 2 Tappe, Stefan 2 Vargiolu, Tiziano 2 Weber, Stefan 2 Wüthrich, Mario V. 2 Aka, Timur 1 Amin, Kaushik I. 1 Ağca, Senay 1 Baaquie, Belal E. 1 Bhar, Ramaprasad 1 Brzeźniak, Zdzisław 1 Buehler, Hans 1 CARMONA, RENÉ 1 CHIARELLA, CARL 1 Chance, Don 1
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Institution
All
Finance Discipline Group, Business School 8 Department of Economics, Waikato Management School 3 EconWPA 3 University of Bonn, Germany 2 Econometric Society 1 Eric Cuvillier <Firma> 1 Royal Economic Society - RES 1 Society for Computational Economics - SCE 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Research Paper Series / Finance Discipline Group, Business School 7 Finance and Stochastics 6 Finance and stochastics 6 International Journal of Theoretical and Applied Finance (IJTAF) 5 Applied Mathematical Finance 4 International journal of theoretical and applied finance 4 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 4 Finance 3 Finance research letters 3 Working Papers in Economics 3 Discussion Paper Serie B 2 Energy economics 2 International review of economics & finance : IREF 2 The journal of computational finance 2 Advanced modelling in mathematical finance : in honour of Ernst Eberlein 1 Applied economics 1 Applied mathematical finance 1 Astin bulletin : the journal of the International Actuarial Association 1 Computing in Economics and Finance 2002 1 Digital finance : smart data analytics, investment innovation, and financial technology 1 Econometric Society 2004 Australasian Meetings 1 European journal of operational research : EJOR 1 Insurance / Mathematics & economics 1 MPRA Paper 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematics and financial economics 1 Quaderni del Dipartimento di Economia Politica / Università degli Studi di Siena 1 Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011 1 Research paper series / Swiss Finance Institute 1 Review of Derivatives Research 1 Review of quantitative finance and accounting 1 Risks 1 Risks : open access journal 1 Royal Economic Society Annual Conference 2003 1 Swiss Finance Institute Research Paper 1 The journal of energy markets 1 The review of financial studies 1 Working Paper Series / Finance Discipline Group, Business School 1 Working papers on finance 1
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Source
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ECONIS (ZBW) 44 RePEc 36 EconStor 1
Showing 11 - 20 of 81
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Valuation of index-linked cash flows in a Heath-Jarrow-Morton framework
Alm, Jonas; Lindskog, Filip - In: Risks 3 (2015) 3, pp. 338-364
, estimation and validation in a Heath-Jarrow-Morton framework. Finally, we analyze the effects of model uncertainty on the …
Persistent link: https://www.econbiz.de/10011709531
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Cover Image
Valuation of index-linked cash flows in a Heath-Jarrow-Morton framework
Alm, Jonas; Lindskog, Filip - In: Risks : open access journal 3 (2015) 3, pp. 338-364
, estimation and validation in a Heath-Jarrow-Morton framework. Finally, we analyze the effects of model uncertainty on the …
Persistent link: https://www.econbiz.de/10011402599
Saved in:
Cover Image
Mean-reverting no-arbitrage additive models for forward curves in energy markets
Latini, Luca; Piccirilli, Marco; Vargiolu, Tiziano - In: Energy economics 79 (2019), pp. 157-170
Persistent link: https://www.econbiz.de/10012172269
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10012055877
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, Fred Espen; Krühner, Paul - In: Finance and stochastics 22 (2018) 2, pp. 327-366
Persistent link: https://www.econbiz.de/10011945791
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A three-factor model on the natural gas forward curve including temperature forecasts
Jablonowski, Christoph; Schicks, Markus - In: The journal of energy markets 10 (2017) 3, pp. 87-105
Persistent link: https://www.econbiz.de/10011999462
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Credit Derivative Pricing with Stochastic Volatility Models
Chiarella, Carl; Maina, Samuel Chege; … - Finance Discipline Group, Business School - 2011
This paper proposes a framework for pricing credit derivatives within the defaultable Markovian HJM framework featuring unspanned stochastic volatility. Motivated by empirical evidence, hump-shaped level dependent stochastic volatility specifications are proposed, such that the model admits...
Persistent link: https://www.econbiz.de/10009357759
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Credit derivative pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - 2011
Persistent link: https://www.econbiz.de/10009564618
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Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu; Li, Chang-Yi; Chen, Son-nan - In: Review of quantitative finance and accounting 46 (2016) 3, pp. 459-482
Persistent link: https://www.econbiz.de/10011595469
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