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The CARMA interest rate model
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Theorie
29
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Option pricing theory
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Optionspreistheorie
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Volatilität
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14
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14
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49
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Christiansen, Charlotte
6
Christensen, Bent Jesper
4
Mikkelsen, Peter
3
Stentoft, Lars
3
Taulbjerg, Jes
3
Barndorff-Nielsen, Ole E.
2
Di Miscia, Orazio
2
Hansen, Peter Reinhard
2
Lunde, Asger
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Peskir, Goran
2
Shephard, Neil G.
2
Shin Jensen, Malene
2
Strunk Hansen, Charlotte
2
Sørensen, Michael
2
Bibby, Bo Martin
1
Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Claus Vorm
1
Daniels, Kenneth N.
1
Grasselli, M.R.
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Kiefer, Nicholas M.
1
Levendorskij, Sergej Z.
1
Nicolato, Elisa
1
Poulsen, R.
1
Poulsen, Rolf
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
1
Schmid, Wolfgang
1
Shepard, Neil
1
Sponholtz, Carina
1
Stegenborg Larsen, Kristian
1
Svenstrup, Mikkel
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
938
International Monetary Fund (IMF)
680
International Monetary Fund
243
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
233
C.E.P.R. Discussion Papers
97
Institut für Schweizerisches Bankwesen <Zürich>
74
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
54
EconWPA
53
Université Paris-Dauphine (Paris IX)
46
HAL
43
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42
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40
Ekonomiska forskningsinstitutet <Stockholm>
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24
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Svenska Handelshögskolan <Helsinki>
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OECD
19
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19
Cowles Foundation for Research in Economics, Yale University
18
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18
Chambre de commerce et d'industrie de Paris
17
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
17
Tinbergen Instituut
17
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
16
Federal Reserve Bank of New York
16
Center for Economic Research <Tilburg>
15
Center for Financial Studies
15
Econometric Society
15
European Association of Agricultural Economists - EAAE
15
School of Economics and Management, University of Aarhus
15
Springer Fachmedien Wiesbaden
15
Université Paris-Dauphine
15
Banque de France
14
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
49
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ECONIS (ZBW)
49
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1
Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
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2
On finite dimensional HJM representations
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607785
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3
Cross-currency LIBOR market models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563858
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4
Long maturity forward rates
Christiansen, Charlotte
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001622254
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5
New evidence on the implied-realized
volatility
relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
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6
Power and bipower variation with stocjastic
volatility
and jumps
Brandorff-Nielsen, Ole E.
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001763251
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7
Pricing american options when the underlying stock price exhibits time-vaying
volatility
Stentoft, Lars
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690047
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8
Option pricing in stochastic
volatility
models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
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9
MCMC based estimation of term structure models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607781
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10
Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587483
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