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~isPartOf:"Interest rate futures : concepts and issues"
~isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"The journal of computational finance"
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Interest rate derivative
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Option pricing theory
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Interest rate futures : concepts and issues
Report / Erasmus Center for Financial Research, Erasmus University
The journal of computational finance
The journal of futures markets
137
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
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Review of futures markets
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Europäische Hochschulschriften / 5
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Journal of financial economics
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Review of derivatives research
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
11
International review of financial analysis
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Working paper
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SSE EFI working paper series in economics and finance
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International journal of financial engineering
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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ECONIS (ZBW)
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
5
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
6
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
7
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
8
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
9
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
Saved in:
10
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
11
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
Saved in:
12
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
13
Pricing and hedging callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
8
(
2004/2005
)
2
,
pp. 65-117
Persistent link: https://www.econbiz.de/10002597597
Saved in:
14
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
Saved in:
15
Risk-management methods for the Libor market model using semidefinite programming
Aspremont, Alexandre d'
- In:
The journal of computational finance
8
(
2004/2005
)
4
,
pp. 77-99
Persistent link: https://www.econbiz.de/10002990531
Saved in:
16
Computing deltas of callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
7
(
2004
)
3
,
pp. 107-144
Persistent link: https://www.econbiz.de/10002060746
Saved in:
17
The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
Saved in:
18
Lognormal approximations to Libor market models
Kurbanmuradov, O.
;
Sabelfeld, K.
;
Schoenmakers, John
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
Saved in:
19
Market value of insurance contracts with profit sharing
Bouwknegt, Pieter
;
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692626
Saved in:
20
Mathematical foundation of convexity correction
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692631
Saved in:
21
Libor market models verus swap market models for pricing interest rate derivatives: an empirical analysis
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692635
Saved in:
22
LIBOR market models in practice
Sidenius, Jakob
- In:
The journal of computational finance
3
(
2000
)
3
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
Saved in:
23
An investigation of cheapest-to-deliver on treasury bond futures contracts
Benninga, Simon
;
Wiener, Zvi
- In:
The journal of computational finance
2
(
1999
)
3
,
pp. 39-55
Persistent link: https://www.econbiz.de/10001638583
Saved in:
24
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 5-27
Persistent link: https://www.econbiz.de/10001517294
Saved in:
25
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
Saved in:
26
Pricing of flexible and limit caps
Pelsser, Antoon André Jean
;
Vorst, Ton
-
1998
Persistent link: https://www.econbiz.de/10000988114
Saved in:
27
Markov-functional interest rate models
Hunt, Philip A.
;
Kennedy, Joanne
;
Pelsser, Antoon …
-
1998
Persistent link: https://www.econbiz.de/10000988115
Saved in:
28
Pricing of interest rate contingent claims : implementing a simulation approach
Miltersen, Kristian R.
- In:
The journal of computational finance
1
(
1998
)
3
,
pp. 7-62
Persistent link: https://www.econbiz.de/10001632703
Saved in:
29
An analytically tractable interest rate model with humped volatility
Mercurio, Fabio
;
Moraleda Novo, Juan Manuel
-
1996
Persistent link: https://www.econbiz.de/10000966928
Saved in:
30
Pricing American interest rate claims with humped volatility models
Moraleda Novo, Juan Manuel
;
Vorst, Ton
-
1996
Persistent link: https://www.econbiz.de/10000966929
Saved in:
31
Is there LIF(F)E after DTB?
Kofman, Paul
;
Bouwman, Tony
;
Moser, James T.
-
1994
Persistent link: https://www.econbiz.de/10000912206
Saved in:
32
Volatility patterns and spillovers in bund futures
Franses, Philip Hans
(
contributor
)
-
1994
Persistent link: https://www.econbiz.de/10000912208
Saved in:
33
Duration, immunization, and hedging with interest rate futures
Kolb, Robert W.
- In:
Interest rate futures : concepts and issues
,
(pp. 353-364)
.
1986
Persistent link: https://www.econbiz.de/10001258089
Saved in:
34
Improving hedging performance using interest rate futures
Kolb, Robert W.
- In:
Interest rate futures : concepts and issues
,
(pp. 339-352)
.
1982
Persistent link: https://www.econbiz.de/10001258065
Saved in:
35
The efficiency of the Treasury bill futures market : an analysis of alternative specifications
Vignola, Anthony J.
- In:
Interest rate futures : concepts and issues
,
(pp. 213-235)
.
1982
Persistent link: https://www.econbiz.de/10001258068
Saved in:
36
The efficiency of the Treasury Bill futures market
Rendleman, Richard J.
- In:
Interest rate futures : concepts and issues
,
(pp. 191-212)
.
1982
Persistent link: https://www.econbiz.de/10001258069
Saved in:
37
Interest rate futures
Arak, Marcelle V.
- In:
Interest rate futures : concepts and issues
,
(pp. 55-80)
.
1982
Persistent link: https://www.econbiz.de/10001258071
Saved in:
38
Forward and futurers pricing of Treasury bills
Morgan, George Emir
- In:
Interest rate futures : concepts and issues
,
(pp. 387-400)
.
1982
Persistent link: https://www.econbiz.de/10001258087
Saved in:
39
Interest rate futures : new tool for the financial manager
Bacon, Peter W.
- In:
Interest rate futures : concepts and issues
,
(pp. 241-253)
.
1982
Persistent link: https://www.econbiz.de/10001258096
Saved in:
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