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A class of jump-diffusion bond pricing models within the HJM framework

Chiarella, Carl; Nikitopoulos, Christina Sklibosios - In: Asia-Pacific financial markets 10 (2003) 2/3, pp. 87-127

Persistent link: https://www.econbiz.de/10002762516

A class of jump-diffusion bond pricing models within the HJM framework

Chiarella, Carl; Nikitopoulos, Christina Sklibosios - 2004

Persistent link: https://www.econbiz.de/10002260625

Pricing of long-dated commodity derivatives : do stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011966734

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

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

Hedging futures options with stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016

Persistent link: https://www.econbiz.de/10011778107

Empirical hedging performance on long-dated crude oil derivatives

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016

Persistent link: https://www.econbiz.de/10011778112

Hedging Futures Options with Stochastic Interest Rates

Cheng, Benjamin - 2016

This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which assumes correlated dynamics between spot asset prices and interest rates. Under this model and when the maturity of the hedging instruments match the maturity of the option,...

Persistent link: https://www.econbiz.de/10012982917