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type_genre:"Aufsatz im Buch"
~type_genre:"Collection of articles written by one author"
~subject:"Stochastic process"
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Stochastic process
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116
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Interest rate modelling after the financial crisis
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
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A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
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2
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
Saved in:
3
Libor market models with stochastic basis
Mercurio, Fabio
- In:
Interest rate modelling after the financial crisis
,
(pp. 323-368)
.
2013
Persistent link: https://www.econbiz.de/10011456998
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4
Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Amin, Ahsan
- In:
Interest rate modelling after the financial crisis
,
(pp. 369-391)
.
2013
Persistent link: https://www.econbiz.de/10011457001
Saved in:
5
Short rate models with stochastic basis and smile
Kenyon, Chris
- In:
Interest rate modelling after the financial crisis
,
(pp. 455-474)
.
2013
Persistent link: https://www.econbiz.de/10011457037
Saved in:
6
General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim
-
2008
Persistent link: https://www.econbiz.de/10003751650
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7
Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach
D'Souza, Dylan
;
Amir-Atefi, Keyvan
;
Racheva-Jotova, Borjana
- In:
Credit risk : measurement, evaluation and management ; …
,
(pp. 49-84)
.
2003
Persistent link: https://www.econbiz.de/10002001435
Saved in:
8
On the term structure of futures and forward prices
Björk, Tomas
;
Landén, Camilla
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 111-149)
.
2002
Persistent link: https://www.econbiz.de/10001679437
Saved in:
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