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On a class of law invariant convex risk measures
Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363
Persistent link: https://www.econbiz.de/10009159083
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Markov-functional interest rate models
Hunt, Phil J.; Kennedy, Joanne; Pelsser, Antoon André Jean - In: Finance and stochastics 4 (2000) 4, pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
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Volatility of the short rate in the rational lognormal model
Goldberg, Lisa - In: Finance and stochastics 2 (1998) 2, pp. 199-211
Persistent link: https://www.econbiz.de/10001235405
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Path dependent options on yields in the affine term structure model
Leblanc, Boris - In: Finance and stochastics 2 (1998) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10001246924
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Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl; Kwon, Oh Kang - In: Finance and stochastics 5 (2001) 2, pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
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A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
Goldys, Ben - In: Finance and stochastics 1 (1997) 4, pp. 345-352
Persistent link: https://www.econbiz.de/10001226609
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Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
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Minimal realizations of interest rate models
Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
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Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano - In: Finance and stochastics 3 (1999) 4, pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
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On the construction of finite dimensional realizations for nonlinear forward rate models
Björk, Tomas; Landén, Camilla - In: Finance and stochastics 6 (2002) 3, pp. 303-331
Persistent link: https://www.econbiz.de/10001680671