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Modeling and Pricing of Swaps...
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Option pricing theory
481
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481
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360
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255
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Levendorskij, Sergej Z.
11
Benth, Fred Espen
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8
Jeanblanc, Monique
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Kwok, Yue-Kuen
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7
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7
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5
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Lo, C. F.
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Macrina, Andrea
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4
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4
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4
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4
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3
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International journal of theoretical and applied finance
MPRA Paper
876
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856
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ECONIS (ZBW)
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1
Volatility
derivatives in market models with jumps
Lo, Harry
;
Mijatović, Aleksandar
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
Saved in:
2
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
3
Recursive algorithms for pricing discrete variance options and
volatility
swaps under time-changed Lévy processes
Zheng, Wendong
;
Yuen, Chi Hung
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Equilibrium price of variance swaps under stochastic
volatility
with Lévy jumps and stochastic interest rate
Yang, Ben-Zhang
;
Yue, Jia
;
Huang, Nan-Jing
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012030903
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Rational approximation of the rough Heston solution
Gatheral, Jim
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
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