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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel; Lemaire, Vincent; Montes, Thibaut; … - In: The journal of computational finance 25 (2021) 2, pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
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The multi-curve potential model
Nguyen, The Anh; Seifried, Frank Thomas - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10011404390
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The information content of Canadian dollar futures options
Levin, Alexander; MacManus, Des; Watt, David G. - In: Information in financial asset prices : proceedings of …, (pp. 229-275). 1999
Persistent link: https://www.econbiz.de/10001516720
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Pricing of swaps with default risk
Li, Haitao - In: Review of derivatives research 2 (1998) 2/3, pp. 231-250
Persistent link: https://www.econbiz.de/10001497946
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The risk of foreign currency contingent claims at US commercial banks
Chaudhry, Mukesh (contributor) - In: Journal of banking & finance 24 (2000) 9, pp. 1399-1417
Persistent link: https://www.econbiz.de/10001501598
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Changes of numeraire for pricing futures, forwards, and options
Schroder, Mark D. - In: The review of financial studies 12 (1999) 5, pp. 1143-1163
Persistent link: https://www.econbiz.de/10001434633
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The distribution of exchange rate returns and tahe pricing of currency opations
Lim, Guay C.; Lye, Jenny N.; Martin, Gael M.; Martin, Vance - In: Journal of international economics 45 (1998) 2, pp. 351-368
Persistent link: https://www.econbiz.de/10001395805
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Processus de diffusion et biais de discrétisation : une analyse empirique par inférence indirecte appliquée aux taux d'intérêt
De Winne, Rudy - In: Finance : revue de l'Association Française de Finance 19 (1998) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10001398790
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Foreign exchange hedging with synthetic options and the interest rate defense of a fixed-exchange-rate regime
Garber, Peter M.; Spencer, Michael George - In: Exchange rates, capital flows, and monetary policy in a …, (pp. 100-127). 1997
Persistent link: https://www.econbiz.de/10001402047