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The CARMA interest rate model
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225
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ECONIS (ZBW)
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1
Bond
and option pricing for interest rate model with clustering effects
Zhang, Xin
;
Xiong, Jie
;
Shen, Yang
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
Saved in:
2
volatility
index
Asensio, Ivan Oscar
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
Saved in:
3
On the American swaption in the linear-rational framework
Filipović, Damir
;
Kitapbayev, Yerkin
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
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4
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
Menoukeu-Pamen, Olivier
;
Xu, Guangli
;
Zhuo, Xiaoyang
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 843-862
Persistent link: https://www.econbiz.de/10014304369
Saved in:
5
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
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6
Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
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7
A term structure model of interest rates with quadratic
volatility
Takamizawa, Hideyuki
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1173-1198
Persistent link: https://www.econbiz.de/10011911531
Saved in:
8
Spike and hike modeling for interest rate derivatives : with an application to SOFR caplets
Andersen, Leif B. G.
;
Bang, Dominique
- In:
Quantitative finance
24
(
2024
)
8
,
pp. 1017-1033
Persistent link: https://www.econbiz.de/10015196868
Saved in:
9
Risk-free rate caplets pricing by CTMC approximation
Liu, Fengming
;
Song, Yingda
- In:
Quantitative finance
24
(
2024
)
11
,
pp. 1579-1595
Persistent link: https://www.econbiz.de/10015196947
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10
The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo
;
Putyatin, Vladislav
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
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