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Negative Libor rates in the swap market model

Davis, Mark H. A.; Mataix-Pastor, Vicente - In: Finance and stochastics 11 (2007) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10003439752

Arbitrage-Free Interpolation of the Swap Curve

Davis, Mark H. A. - 2009

We suggest an arbitrage free interpolation method for pricing zero-coupon bonds of arbitrary maturities from a model of the market data that typically underlies the swap curve; that is short term, future and swap rates. This is done first within the context of the Libor or the swap market model....

Persistent link: https://www.econbiz.de/10013153474

Arbitrage-free interpolation of the swap curve

Davis, Mark H. A.; Mataix-Pastor, Vicente - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 969-1005

Persistent link: https://www.econbiz.de/10003928772

Linear estimation and stochastic control

Davis, Mark H. A. - 1977 - 1. publ.

Persistent link: https://www.econbiz.de/10000089406

Optimal hedging with basis risk

Davis, Mark H. A. - In: From stochastic calculus to mathematical finance : the …, (pp. 169-187). 2006

Persistent link: https://www.econbiz.de/10003287153

Model-free methods in valuation and hedging of derivative securities

Davis, Mark H. A. - In: The handbook of post crisis financial modelling, (pp. 168-189). 2016

Persistent link: https://www.econbiz.de/10011475750

Contagion models in credit risk

Davis, Mark H. A. - In: The Oxford handbook of credit derivatives, (pp. 285-326). 2011

Persistent link: https://www.econbiz.de/10014565536

Optimal timing of capacity expansion

Carvalhais, Z. - In: Journal of economic dynamics & control 10 (1986) 1, pp. 89-91

Persistent link: https://www.econbiz.de/10001027245

Recursive order estimation of autoregressions without bounding the model set

Hemerly, E. M. - In: Journal of the Royal Statistical Society 53 (1991) 1, pp. 201-210

Persistent link: https://www.econbiz.de/10001115424

The martingale maximum principle and the allocation of labour surplus

Davis, Mark H. A. - In: Journal of economic dynamics & control 11 (1987) 2, pp. 241-247

Persistent link: https://www.econbiz.de/10001033261