Narrow search
Showing 1 - 10 of 60
Cover Image
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
Cover Image
An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
Cover Image
Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Cover Image
Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi; Jin, Xing - In: European journal of operational research : EJOR 303 (2022) 2, pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
Cover Image
Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
Cover Image
Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W. - In: The journal of futures markets 4 (1984) 4, pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
Cover Image
Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François; Boudreault, Mathieu; … - In: The journal of futures markets 44 (2024) 1, pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
Cover Image
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
Cover Image
Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of futures markets 29 (2009) 8, pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
Cover Image
Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
Guo, Jia-hau - In: The journal of futures markets 31 (2011) 4, pp. 340-370
Persistent link: https://www.econbiz.de/10008908378