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1
Arbitrage-free neural-SDE market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10014390284
Saved in:
2
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
3
Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T.
;
Swan, Bruce Q.
;
Chen, Xinfu
- In:
Applied mathematical finance
29
(
2022
)
1
,
pp. 33-61
Persistent link: https://www.econbiz.de/10013554066
Saved in:
4
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
5
A copula-based Markov reward approach to the credit spread in the European Union
D'Amico, Guglielmo
;
Petroni, Filippo
;
Regnalt, Philippe
; …
- In:
Applied mathematical finance
26
(
2019
)
4
,
pp. 359-386
Persistent link: https://www.econbiz.de/10012210396
Saved in:
6
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
7
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
8
Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models
Criens, David
;
Glau, Kathrin
;
Grbac, Zorana
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10011746992
Saved in:
9
The affine inflation market models
Waldenberger, Stefan
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 281-301
Persistent link: https://www.econbiz.de/10011815230
Saved in:
10
Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
11
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
12
Skewness term-structure tests
Lehnert, Thorsten
;
Lin, Yuehao
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 484-504
Persistent link: https://www.econbiz.de/10011704272
Saved in:
13
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan
;
Fung, Man Chung
;
Ignatieva, Ekaterina
; …
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Saved in:
14
Re-specification of affine term structure models : the linkage to empirical investigations
Huang, Ting Ting
;
Sun, Bruce Qiang
;
Chen, Xinfu
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 523-554
Persistent link: https://www.econbiz.de/10010500872
Saved in:
15
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
16
Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda
;
Rayée, Grégory
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
Saved in:
17
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
18
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
19
Stationary and nonstationary behaviour of the term structure : a nonparametric characterization
Bowsher, Clive G.
;
Meeks, Roland
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 137-166
Persistent link: https://www.econbiz.de/10009737172
Saved in:
20
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
Applied mathematical finance
19
(
2012
)
1/2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
Saved in:
21
Bonds and options in exponentially affine bond models
Bermin, Hans-Peter
- In:
Applied mathematical finance
19
(
2012
)
5/6
,
pp. 513-534
Persistent link: https://www.econbiz.de/10009710929
Saved in:
22
An affine two-factor heteroskedastic macro-finance term structure model
Spreij, Peter
;
Veerman, Enno
;
Vlaar, Peter J. G.
- In:
Applied mathematical finance
18
(
2011
)
3/4
,
pp. 331-352
Persistent link: https://www.econbiz.de/10009381906
Saved in:
23
Valuation of two-factor interest rate contingent claims using Green's theorem
Sorwar, Ghulam
;
Barone-Adesi, Giovanni
- In:
Applied mathematical finance
18
(
2011
)
3/4
,
pp. 277-289
Persistent link: https://www.econbiz.de/10009381923
Saved in:
24
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Saved in:
25
Boundary values and finite difference methods for the single factor term structure equation
Ekström, Erik
;
Lötstedt, Per
;
Tysk, Johan
- In:
Applied mathematical finance
16
(
2009
)
3/4
,
pp. 253-259
Persistent link: https://www.econbiz.de/10003916158
Saved in:
26
Finite-dimensional realizations of regime-switching HJM models
Elhouar, Mikael
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 331-354
Persistent link: https://www.econbiz.de/10003751268
Saved in:
27
Level-slope-curvature : fact or artefact?
Lord, Roger
;
Pelsser, Antoon André Jean
- In:
Applied mathematical finance
14
(
2007
)
2
,
pp. 105-130
Persistent link: https://www.econbiz.de/10003542978
Saved in:
28
Term structure models with parallel and proportional shifts
Armerin, Fredrik
;
Jensen, Bjarne Astrup
;
Björk, Tomas
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10003543032
Saved in:
29
Mean reversion level extensions of time-homogeneous affine term structure models
Kwon, Oh Kang
- In:
Applied mathematical finance
14
(
2007
)
4
,
pp. 291-302
Persistent link: https://www.econbiz.de/10003543036
Saved in:
30
A theoretically consistent version of the Nelson and Siegel class of yield curve models
Krippner, Leo
- In:
Applied mathematical finance
13
(
2006
)
1
,
pp. 39-59
Persistent link: https://www.econbiz.de/10003320038
Saved in:
31
Stochastic volatility effects on defaultable bonds
Fouque, Jean-Pierre
;
Sircar, Kaushik Ronnie
;
Sølna, Knut
- In:
Applied mathematical finance
13
(
2006
)
3
,
pp. 215-244
Persistent link: https://www.econbiz.de/10003383651
Saved in:
32
Interpolation methods for curve construction
Hagan, Patrick S.
;
West, Graeme
- In:
Applied mathematical finance
13
(
2006
)
2
,
pp. 89-129
Persistent link: https://www.econbiz.de/10003331417
Saved in:
33
Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo
;
Renò, Roberto
- In:
Applied mathematical finance
13
(
2006
)
2
,
pp. 143-153
Persistent link: https://www.econbiz.de/10003331421
Saved in:
34
Pricing quanto equity swaps in a stochastic interest rate economy
Chung, San-lin
;
Yang, Hsiao-fen
- In:
Applied mathematical finance
12
(
2005
)
2
,
pp. 121-146
Persistent link: https://www.econbiz.de/10002989911
Saved in:
35
Two extensions for fitting discrete time term structure models with normally distributed factors
Aǧca, Şenay
;
Chance, Don M.
- In:
Applied mathematical finance
11
(
2004
)
3
,
pp. 187-205
Persistent link: https://www.econbiz.de/10002243472
Saved in:
36
Stochastic volatility Gaussian Heath-Jarrow-Morton models
Valchev, Stoyan
- In:
Applied mathematical finance
11
(
2004
)
4
,
pp. 347-368
Persistent link: https://www.econbiz.de/10002458564
Saved in:
37
A new approximate swaption formula in the LIBOR market model : an asymptotic expansion approach
Kawai, Atsushi
- In:
Applied mathematical finance
10
(
2003
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10001756869
Saved in:
38
Energy futures prices : term structure models with Kalman filter estimation
Manoliu, Mihaela
;
Tompaidis, Stathis
- In:
Applied mathematical finance
9
(
2002
)
1
,
pp. 21-43
Persistent link: https://www.econbiz.de/10001685152
Saved in:
39
Calibrating the Black-Derman-Toy model : some theoretical results
Boyle, Phelim P.
;
Tan, Ken Seng
;
Tian, Weidong
- In:
Applied mathematical finance
8
(
2001
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10001625667
Saved in:
40
A square root interest rate model fitting discrete initial term structure data
Schlögl, Erik
;
Schlögl, Lutz
- In:
Applied mathematical finance
7
(
2000
)
3
,
pp. 183-209
Persistent link: https://www.econbiz.de/10001590502
Saved in:
41
Volatility skews and extensions of the libor market model
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Applied mathematical finance
7
(
2000
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
Saved in:
42
Markov interest rate models
Hagan, Patrick S.
;
Woodward, Diana E.
- In:
Applied mathematical finance
6
(
1999
)
4
,
pp. 233-260
Persistent link: https://www.econbiz.de/10001517815
Saved in:
43
Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
Morokoff, William J.
- In:
Applied mathematical finance
6
(
1999
)
1
,
pp. 19-28
Persistent link: https://www.econbiz.de/10001449231
Saved in:
44
Phenomenology of the interest rate curve
Bouchaud, Jean-Philippe
(
contributor
)
- In:
Applied mathematical finance
6
(
1999
)
3
,
pp. 209-232
Persistent link: https://www.econbiz.de/10001490691
Saved in:
45
A note on the Flesaker-Hughston model of the term structure of interest rates
Rutkowski, Marek
- In:
Applied mathematical finance
4
(
1997
)
3
,
pp. 151-163
Persistent link: https://www.econbiz.de/10001229350
Saved in:
46
Compound and exchange options in the affine term structure model
Scaillet, Olivier
- In:
Applied mathematical finance
3
(
1996
)
1
,
pp. 75-92
Persistent link: https://www.econbiz.de/10001209608
Saved in:
47
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
Rutkowski, Marek
- In:
Applied mathematical finance
3
(
1996
)
3
,
pp. 237-267
Persistent link: https://www.econbiz.de/10001217776
Saved in:
48
The pricing of Asian options under stochastic interest rates
Aase Nielsen, Jørgen
- In:
Applied mathematical finance
3
(
1996
)
3
,
pp. 209-236
Persistent link: https://www.econbiz.de/10001217777
Saved in:
49
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks
Bacinello, Anna Rita
- In:
Applied mathematical finance
3
(
1996
)
4
,
pp. 269-294
Persistent link: https://www.econbiz.de/10001217788
Saved in:
50
Bond, futures and option evaluation in the quadratic interest rate model
Jamshidian, Farshid
- In:
Applied mathematical finance
3
(
1996
)
2
,
pp. 93-115
Persistent link: https://www.econbiz.de/10001219287
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