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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
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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
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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
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A multiple curve Lévy swap market model
Eberlein, Ernst; Gerhart, Christoph; Lütkebohmert, Eva - In: Applied mathematical finance 27 (2020) 5, pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
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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
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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
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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
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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
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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
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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