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~source:"econis"
~type_genre:"Forschungsbericht"
~subject:"Theorie"
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Search: subject_exact:"LIBOR-Markt-Modell"
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Pricing CMS spreads in the Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, …
-
2008
Persistent link: https://www.econbiz.de/10003809706
Saved in:
2
Simulation of the yield curve : checking a cox-ingersoll-ross model
Fischer, Tom
;
May, Angelika
;
Walther, Brigitte
-
2002
Persistent link: https://www.econbiz.de/10001718852
Saved in:
3
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John
-
2002
Persistent link: https://www.econbiz.de/10001724376
Saved in:
4
A filtered no arbitrage model for term structures from noisy data
Gombani, Andrea
;
Jaschke, Stefan R.
;
Runggaldier, …
-
Weierstraß-Institut für Angewandte Analysis und Stochastik
-
2002
Persistent link: https://www.econbiz.de/10001802389
Saved in:
5
Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds
Sommer, Daniel
-
1997
Persistent link: https://www.econbiz.de/10000954639
Saved in:
6
Factor models and the shape of the term structure
Schlögl, Erik
-
1997
Persistent link: https://www.econbiz.de/10000954666
Saved in:
7
A tractable term structure model with endogenous interpolation and positive interest rates
Schlögl, Erik
-
1997
Persistent link: https://www.econbiz.de/10000987003
Saved in:
8
Lognormality of rates and term structure models
Goldys, Beniamin
-
1996
Persistent link: https://www.econbiz.de/10000954622
Saved in:
9
The term structure of defaultable bond prices
Schönbucher, Philipp J.
-
1996
Persistent link: https://www.econbiz.de/10000960002
Saved in:
10
On short rate processes and their implications for term structure movements
Schlögl, Erik
-
1994
Persistent link: https://www.econbiz.de/10000903338
Saved in:
11
Continuous time limits in the generalized Ho/Lee framework under the risk-neutral- and forward-measures
Sommer, Daniel
-
1994
Persistent link: https://www.econbiz.de/10000886970
Saved in:
12
Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
Sandmann, Klaus
-
1994
Persistent link: https://www.econbiz.de/10013276400
Saved in:
13
Different dynamical specifications of the term structure of interest rates and their implications
Musiela, Marek
;
Sondermann, Dieter
-
1993
Persistent link: https://www.econbiz.de/10000413907
Saved in:
14
Anwendungen eines Binomialmodells der Zinsstruktur auf Markdaten von Zinssatzoptionen : eine empirische Untersuchung zu diskreten 1-Faktor-Zinsstrukturmodellen
Borries, Daniel von
-
1993
Persistent link: https://www.econbiz.de/10000347802
Saved in:
15
On the stability of lognormal interest rate models
Sandmann, Klaus
-
1993
Persistent link: https://www.econbiz.de/10000880242
Saved in:
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