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Risk factors in derivatives markets

Martinkutė-Kaulienė, Raimonda - In: Entrepreneurial business and economics review : EBER 2 (2014) 4, pp. 71-83

Persistent link: https://www.econbiz.de/10011450054

Variation and share-weighted variation swaps on time-changed Lévy processes

Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716

Persistent link: https://www.econbiz.de/10010190886

Implications for hedging of the choice of driving process for one-factor Markov-functional models

Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51

Persistent link: https://www.econbiz.de/10009783994

Forward variance dynamics : Bergomi's model revisited

Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107

Persistent link: https://www.econbiz.de/10010351856

Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models

Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012642967

Bewertung, Anwendungsmöglichkeiten und Hedgingstrategien von Swaptions

Rauleder, Rainer - 1994

Persistent link: https://www.econbiz.de/10000890817

Pricing and hedging guaranteed annuity options via static option replication

Pelsser, Antoon André Jean - 2002

Persistent link: https://www.econbiz.de/10001663822

Bewertung und hedging von swaptions

Akume, Daniel; Luderer, Bernd; Weber, Gerhard-Wilhelm - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 32 (2003) 12, pp. 694-699

Persistent link: https://www.econbiz.de/10001843860

Accounting for specific derivatives: swaps and options

Neilson, Liam - In: Derivatives accounting and risk management : key …, (pp. 65-74). 2004

Persistent link: https://www.econbiz.de/10002771731

Deep Learning-Based BSDE Solver for Libor Market Model with Applications to Bermudan Swaption Pricing and Hedging

Wang, Haojie - 2018

sensitivities of the option, the so-called “Greeks”, which are fundamental for a trader's hedging activity. Recently, an alternative … PDEs. We demonstrate that using backward DNN the high-dimension Bermudan swaption pricing and hedging can be solved …

Persistent link: https://www.econbiz.de/10012914649