Narrow search
Showing 1 - 10 of 596
Cover Image
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Cover Image
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Cover Image
Valuing early-exercise interest-rate options with multi-factor affine models
Jaimungal, Sebastian; Surkov, Vladimir - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010197181
Cover Image
In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An; Sandmann, Klaus - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-24
Persistent link: https://www.econbiz.de/10009706335
Cover Image
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Cover Image
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Cover Image
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Cover Image
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Cover Image
LIBOR market model under the real-world measure
Yasuoka, Takashi - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10009780632
Cover Image
The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925