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A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Asset pricing under general collateralization
Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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Chapter 20 Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …
Persistent link: https://www.econbiz.de/10014023851
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Interest Rate Dynamics, Derivatives Pricing, and Risk Management
Chen, Lin - 1996
This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and...
Persistent link: https://www.econbiz.de/10013519057
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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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LIBOR market model with multiplicative basis
Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
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Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan; Mi, Yanhui - In: International journal of financial engineering 5 (2018) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011923038