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subject:"LIBOR market model"
~person:"Gogala, Jaka"
~person:"Lin, Shih-kuei"
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LIBOR market model
Interest rate derivative
6
Yield curve
6
Zinsderivat
6
Zinsstruktur
6
Option pricing theory
4
Optionspreistheorie
4
Interest rate
3
Swap
3
Zins
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Derivat
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Derivative
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Arbitrage Pricing
1
Arbitrage pricing
1
Bermudan options
1
Callable accreting interest rate swap
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Constant maturity swap
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Generalized swap market model
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Hull and White model
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Interest rate derivatives
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Jump risks
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Kleinste-Quadrate-Methode
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Least square Monte Carlo method
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Least squares method
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Levi-Civitá equation
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Markov-functional models
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Markov-functional models (MFMs)
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Modellierung
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Multivariate Verteilung
1
Multivariate distribution
1
Option trading
1
Optionsgeschäft
1
Range Accrual Interest Rate Swap (RAIRS)
1
Range accrual
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Scientific modelling
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Stochastic model in continuous time
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Stochastic process
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Gogala, Jaka
Lin, Shih-kuei
Elliott, Robert J.
2
Wu, Ping
2
Zhong, Yangfan
2
Arrouy, Pierre-Edouard
1
Baaquie, Belal E.
1
Backwell, Alex
1
Boumezoued, Alexandre
1
Chen, Carl R.
1
Du, Xin
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Jain, Shashi
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Joshi, Mark S.
1
Karlsson, Patrik
1
Kennedy, Joanne E.
1
Lapeyre, Bernard
1
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1
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1
Mi, Yanhui
1
Muck, Matthias
1
Oosterlee, Cornelis Willebrordus
1
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1
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1
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International journal of theoretical and applied finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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1
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
2
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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