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Models of forward Libor and swap rates
Rutkowski, Marek - In: Applied mathematical finance 6 (1999) 1, pp. 29-60
Persistent link: https://www.econbiz.de/10001449235
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A note on the Flesaker-Hughston model of the term structure of interest rates
Rutkowski, Marek - In: Applied mathematical finance 4 (1997) 3, pp. 151-163
Persistent link: https://www.econbiz.de/10001229350
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Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
Rutkowski, Marek - In: Applied mathematical finance 3 (1996) 3, pp. 237-267
Persistent link: https://www.econbiz.de/10001217776
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PAPERS - Models of forward Libor and swap rates
Rutkowski, Marek - In: Applied mathematical finance 6 (1999) 1, pp. 29
Persistent link: https://www.econbiz.de/10008218057
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A note on the Flesaker-Hughston model of the term structure of interest rates
Rutkowski, Marek - In: Applied mathematical finance 4 (1997) 3, pp. 151-164
Persistent link: https://www.econbiz.de/10008219565
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Static Replication of Forward-Start Claims and Realized Variance Swaps
Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 2, pp. 99-132
Persistent link: https://www.econbiz.de/10008418936
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Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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Static replication of forward-start claims and realized variance swaps
Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 1/2, pp. 99-131
Persistent link: https://www.econbiz.de/10003975324