Narrow search
Showing 1 - 10 of 910
Cover Image
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Cover Image
An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
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
Information flow dependence in financial markets
Michaelsen, Markus - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
Cover Image
Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
Cover Image
Behavior of long-term yields in a Lévy term structure
Biagini, Francesca; Härtel, Maximilian - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10010364765
Cover Image
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Cover Image
Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
Cover Image
A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10011892605
Cover Image
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900