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subject:"Optionspreistheorie"
~type_genre:"Konferenzbeitrag"
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Optionspreistheorie
Interest rate derivative
4
Option pricing theory
4
Yield curve
4
Zinsderivat
4
Zinsstruktur
4
Stochastic process
3
Stochastischer Prozess
3
Derivat
2
Derivative
2
Swaption
2
Affine LIBOR models
1
Asymptotic approximation
1
Calibration
1
Caplet
1
Coupon bond option
1
Forward price
1
Geldmarkt
1
Interest rate
1
LIBOR
1
LIBOR market models
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Libor market model
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Lévy Libor model
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Lévy forward price models
1
Martingal
1
Martingale
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Money market
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One-factor Hull-White model
1
Overnight interest rate
1
Semimartingales
1
Two-factor Hull-White model
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1
deterministic timed jumps
1
interest rate derivatives
1
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Konferenzbeitrag
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Graue Literatur
76
Non-commercial literature
76
Arbeitspapier
63
Working Paper
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English
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Grbac, Zorana
2
Avellaneda, Marco
1
Genaro, Alan de
1
Glau, Kathrin
1
Krief, David
1
Papapantoleon, Antonis
1
Russo, Vincenzo
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Tankov, Peter
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Torri, Gabriele
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Computational Management Science : CMS
1
International journal of theoretical and applied finance
1
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ECONIS (ZBW)
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1
Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo
;
Torri, Gabriele
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 275-295
Persistent link: https://www.econbiz.de/10011993481
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2
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
3
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
Saved in:
4
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:
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