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Derivat
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Pelsser, Antoon André Jean
13
Jong, Frank de
6
Driessen, Joost
5
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2
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2
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Report / Erasmus Center for Financial Research, Erasmus University
4
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European finance review : the official journal of the European Finance Association
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ECONIS (ZBW)
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Libor market models verus swap market models for pricing interest rate derivatives: an empirical analysis
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692635
Saved in:
2
Libor market models versus swap market models for pricing interest rate derivatives : an empirical analysis
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
- In:
European finance review : the official journal of the …
5
(
2001
)
3
,
pp. 201-237
Persistent link: https://www.econbiz.de/10001654818
Saved in:
3
On the information in the interest rate term structure and option prices
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
7
(
2004
)
2
,
pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
Saved in:
4
The dynamics of the forward interest rate curve : a formulation with state variables
Jong, Frank de
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 131-157
Persistent link: https://www.econbiz.de/10001436356
Saved in:
5
Intraday lead-lag relationships between the futures-, options and stock market
Jong, Frank de
;
Donders, Monique
-
1996
Persistent link: https://www.econbiz.de/10000951700
Saved in:
6
Intraday lead-lag relationships between the futures-, options and stock market
Jong, Frank de
- In:
European finance review : the official journal of the …
1
(
1997
)
3
,
pp. 337-359
Persistent link: https://www.econbiz.de/10001249403
Saved in:
7
Mathematical foundation of convexity correction
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692631
Saved in:
8
Efficient methods for valuing interest rate derivatives
Pelsser, Antoon André Jean
-
2000
Persistent link: https://www.econbiz.de/10001472323
Saved in:
9
Markov-functional interest rate models
Hunt, Phil J.
;
Kennedy, Joanne
;
Pelsser, Antoon André Jean
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
Saved in:
10
Markov-functional interest rate models
Hunt, Philip A.
;
Kennedy, Joanne
;
Pelsser, Antoon …
-
1998
Persistent link: https://www.econbiz.de/10000988115
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