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subject:"Yield curve"
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Search: subject_exact:"SABR model"
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Interest rate modelling after the financial crisis
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ECONIS (ZBW)
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Hagan, Patrick S.
;
Lesniewski, Andrew
;
Skoufis, G. E.
; …
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
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2
An empirical study on the measurement and determinants of macroeconomic uncertainty
Ulm, Maren
-
2018
Persistent link: https://www.econbiz.de/10012115215
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3
Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis
Amin, Ahsan
-
2010
We follow Mercurio's extension of the LIBOR market model with stochastic Basis spreads and model the joint evolution of forward rates belonging to the discount curve and corresponding spreads with FRA rates. We consider Heston stochastic-volatility dynamics and show how to calculate the swaption...
Persistent link: https://www.econbiz.de/10013136298
Saved in:
4
SABR and SABR LIBOR market models in practice : with examples implemented in Python
Crispoldi, Christian
;
Wigger, Gérald
;
Larkin, Peter
-
2015
Persistent link: https://www.econbiz.de/10011374239
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5
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:
6
Parsimonious multi-curve HJM modelling with stochastic volatility
Moreni, Nicola
;
Pallavicini, Andrea
- In:
Interest rate modelling after the financial crisis
,
(pp. 393-415)
.
2013
Persistent link: https://www.econbiz.de/10011457026
Saved in:
7
Interest rate modelling after the financial crisis
Bianchetti, Marco
(
ed.
);
Morini, Massimo
(
ed.
)
-
2013
Persistent link: https://www.econbiz.de/10013553126
Saved in:
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