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  • Search: subject:"measure changes"
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Year of publication
Subject
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Measure changes 3 Bid and ask prices 2 Credit risk 2 Kreditrisiko 2 Minmaxvar distortion 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Option pricing theory 2 Optionspreistheorie 2 Separating hyperplanes 2 measure changes 2 Bermudan products 1 Credit derivative 1 FRAs 1 Hessian 1 Interest rate derivative 1 Kreditderivat 1 Monte Carlo method 1 Option trading 1 Optionsgeschäft 1 QuantLib 1 Reinsurance 1 Rückversicherung 1 Simulation 1 Swap 1 Theorie 1 Theory 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1 basis adjustment 1 basis swaps 1 caps 1 counterparty risk 1 credit risk 1 crisis 1 discount curve 1 exercise strategy 1 floors 1 forward curve 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 2
Author
All
Madan, Dilip B. 2 Bianchetti, Marco 1 Jin, Yunguo 1 Joshi, Mark S. 1 Zhong, Shouming 1 Zhu, Dan 1
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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International journal of financial engineering 1 Journal of Banking & Finance 1 Journal of banking & finance 1 MPRA Paper 1 The journal of computational finance 1
Source
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ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
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New explicit closed form formulae for the prices of catastrophe options
Jin, Yunguo; Zhong, Shouming - In: International journal of financial engineering 2 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011333444
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...
Persistent link: https://www.econbiz.de/10008457180
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Modeling and monitoring risk acceptability in markets: The case of the credit default swap market
Madan, Dilip B. - In: Journal of Banking & Finance 47 (2014) C, pp. 63-73
markets. Interactions between discounting and stress levels used in measure changes are accommodated by lowering discount …
Persistent link: https://www.econbiz.de/10010931658
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Cover Image
Modeling and monitoring risk acceptability in markets : the case of the credit default swap market
Madan, Dilip B. - In: Journal of banking & finance 47 (2014), pp. 63-73
Persistent link: https://www.econbiz.de/10010506505
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