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  • Search: subject:"Heath–Jarrow–Morton model"
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Year of publication
Subject
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Heath-Jarrow-Morton model 11 Option pricing theory 10 Optionspreistheorie 10 Stochastic process 10 Stochastischer Prozess 10 Yield curve 9 Zinsstruktur 9 Volatility 5 Volatilität 5 term structure of interest rates 5 Interest rate 4 Zins 4 Analysis 3 Credit derivative 3 Currency option 3 Derivat 3 Derivative 3 Devisenoption 3 Euler-Maruyama stochastic integral approximation 3 HJM (Heath-Jarrow-Morton) model 3 HJM-Modell 3 Interest rate derivative 3 Kreditderivat 3 Markov chain 3 Markov-Kette 3 Mathematical analysis 3 Monte Carlo simulation 3 Monte-Carlo-Simulation 3 Zinsderivat 3 Currency derivative 2 Dynamic measure change 2 Esscher transform 2 Exchange rate 2 Heath-Jarrow- Morton model 2 Markov-modulated Heath-Jarrow-Morton model 2 Stochastic volatility 2 Wechselkurs 2 Währungsderivat 2 Zinsstrukturtheorie 2 bond price 2
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Online availability
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Undetermined 11 Free 8
Type of publication
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Article 13 Book / Working Paper 13
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Graue Literatur 4 Non-commercial literature 4 Arbeitspapier 3 Hochschulschrift 3 Thesis 3 Working Paper 3
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Language
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English 15 Undetermined 10 German 1
Author
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Chiarella, Carl 9 Chen, Jun-Home 5 Lian, Yu-Min 5 Musti, Silvana 4 Fanelli, Viviana 3 Miltersen, K. 2 Sondermann, D. 2 Aka, Timur 1 Ağca, Senay 1 Baaquie, Belal E. 1 Bhar, Ram 1 Bhar, Ramaprasad 1 Chance, Don 1 Chen, Son-nan 1 Chiang, Mi-Hsiu 1 EBERLEIN, ERNST 1 Grollmann, Manfred 1 Härtel, Maximilian 1 KLUGE, WOLFGANG 1 Krippner, Leo 1 Kwon, Oh Kang 1 Li, Chang-Yi 1 Liang, Zongxia 1 Liao, Szu-Lang 1 Maina, Samuel Chege 1 Nikitopoulos-Sklibosios, Christina 1 PAPAPANTOLEON, ANTONIS 1 Pasquali, Sara 1 Runggaldier, Wolfgang 1 Sandmann, K. 1 Sheng, Wenlong 1 Valchev, Stoyan 1
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Institution
All
Finance Discipline Group, Business School 3 University of Bonn, Germany 2 Eric Cuvillier <Firma> 1 Society for Computational Economics - SCE 1
Published in...
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Applied Mathematical Finance 3 Finance research letters 3 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 3 Discussion Paper Serie B 2 International review of economics & finance : IREF 2 Research Paper Series / Finance Discipline Group, Business School 2 Computing in Economics and Finance 2002 1 European journal of operational research : EJOR 1 Finance and Stochastics 1 Insurance / Mathematics & economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Review of quantitative finance and accounting 1 Working Paper Series / Finance Discipline Group, Business School 1
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Source
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ECONIS (ZBW) 15 RePEc 11
Showing 1 - 10 of 26
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Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics
Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 94 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014582767
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Valuation of chooser options with state-dependent risks
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 52 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
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Foreign exchange option pricing under regime switching with asymmetrical jumps
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 46 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013341395
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Pricing virtual currency-linked derivatives with time-inhomogeneity
Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 71 (2021), pp. 424-439
Persistent link: https://www.econbiz.de/10012627797
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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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Valuing inflation-linked death benefits under a stochastic volatility framework
Liang, Zongxia; Sheng, Wenlong - In: Insurance / Mathematics & economics 69 (2016), pp. 45-58
Persistent link: https://www.econbiz.de/10011530922
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Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219
Persistent link: https://www.econbiz.de/10011656179
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Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
Chiarella, Carl; Maina, Samuel Chege; … - Finance Discipline Group, Business School - 2010
This paper presents a class of defaultable term structure models within the HJM framework with stochastic volatility. Under certain volatility specifications, the model admits finite dimensional Markovian structures and consequently provides tractable solutions for interest rate derivatives. We...
Persistent link: https://www.econbiz.de/10008483768
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009
Persistent link: https://www.econbiz.de/10008662364
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The asymptotic behavior of the term structure of interest rates
Härtel, Maximilian - 2015 - 1. Auflage
Persistent link: https://www.econbiz.de/10011416533
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