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Calibration of multicurrency LIBOR market models
Pilz, Kay Frederik; Schlögl, Erik - 2010
Persistent link: https://www.econbiz.de/10009564650
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015
Persistent link: https://www.econbiz.de/10011777512
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Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777909
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Pricing American options under regime switching using method of lines
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777915
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A PDE view of game options
Meyer, Gunter H. - 2016
Persistent link: https://www.econbiz.de/10011777979
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Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016
Persistent link: https://www.econbiz.de/10011778017
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Hedging futures options with stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011778107
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Empirical hedging performance on long-dated crude oil derivatives
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011778112
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Lie symmetry methods for local volatility models
Craddock, Mark; Grasselli, Martino - 2016
Persistent link: https://www.econbiz.de/10011778123
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Fast quantization of stochastic volatility models
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - 2017
Persistent link: https://www.econbiz.de/10011778174