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~subject:"Interest rate derivative"
~type_genre:"Konferenzbeitrag"
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Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo
;
Torri, Gabriele
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 275-295
Persistent link: https://www.econbiz.de/10011993481
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A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
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3
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
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Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
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