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A self-exciting switching jump diffusion : properties, calibration and hitting time
Hainaut, Donatien; Deelstra, Griselda - In: Quantitative finance 19 (2019) 3, pp. 407-426
Persistent link: https://www.econbiz.de/10012194661
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Cheapest-to-deliver collateral : a common factor approach
Wolf, Felix Lukas; Grzelak, Lech A.; Deelstra, Griselda - In: Quantitative finance 22 (2022) 4, pp. 707-723
Persistent link: https://www.econbiz.de/10013367854
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A multi-curve HJM factor model for pricing and risk management
Bienek, Tobias; Deelstra, Griselda; Lichtenstern, Andreas; … - In: Quantitative finance 23 (2023) 11, pp. 1659-1675
Persistent link: https://www.econbiz.de/10014419185