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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
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LIBOR market models in practice
Sidenius, Jakob - In: The journal of computational finance 3 (2000) 3, pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
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Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745