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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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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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Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
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Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-49
Persistent link: https://www.econbiz.de/10003234943
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatović, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul; Zhao, Xiaoliang - In: Finance and stochastics 4 (2000) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
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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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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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LIBOR and swap market models and measures
Jamshidian, Farshid - In: Finance and stochastics 1 (1997) 4, pp. 293-330
Persistent link: https://www.econbiz.de/10001226611
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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