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~subject:"Option pricing theory"
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Option pricing theory
Theorie
37
Theory
37
Yield curve
27
Zinsstruktur
27
Optionspreistheorie
20
Volatilität
16
Volatility
15
Risikomanagement
14
Interest rate derivative
12
Zinsderivat
12
Mathematisches Modell
11
Risk management
11
Forecasting model
10
Portfolio selection
10
Portfolio-Management
10
Prognoseverfahren
10
CAPM
9
Derivat
9
Derivative
9
Zins
9
Capital income
7
Interest rate
7
Kapitaleinkommen
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Public bond
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Risikoprämie
7
Risk premium
7
Stochastic process
7
Stochastischer Prozess
7
Öffentliche Anleihe
7
Derivat <Wertpapier>
6
Korrelation
6
Bayes-Statistik
5
Bayesian inference
5
Estimation
5
Financial investment
5
Government securities
5
Kapitalanlage
5
Schätzung
5
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English
18
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Rebonato, Riccardo
17
White, Richard
3
Jaeckel, Peter
2
McKay, Kenneth
2
Cooper, Ian
1
Das, Sanjiv R.
1
Joshi, Mark
1
Jäckel, Peter
1
Meissner, Gunter A.
1
Ng, Chu Ming
1
Putyatin, Vladislav
1
Sherwin, Hong
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The journal of computational finance
4
International journal of theoretical and applied finance
2
Wiley series in financial engineering
2
Applied mathematical finance
1
Innovations in risk management : seminal papers from the Journal of Risk
1
Journal of economic literature
1
Quantitative finance
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
18
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1
Volatility and correlation in the pricing of equity, FX, and interest-rate options
Rebonato, Riccardo
-
1999
Persistent link: https://www.econbiz.de/10001376705
Saved in:
2
On the pricing implications of the joint lognormal assumption for the swaption and cap markets
Rebonato, Riccardo
- In:
The journal of computational finance
2
(
1999
)
3
,
pp. 57-76
Persistent link: https://www.econbiz.de/10001638598
Saved in:
3
Volatility and correlation : the perfect hedger and the fox
Rebonato, Riccardo
-
2004
-
2. ed.
Persistent link: https://www.econbiz.de/10001932788
Saved in:
4
Interest-rate option models : understanding, analysing and using models for exotic interest-rate options
Rebonato, Riccardo
-
1998
-
2. ed.
Persistent link: https://www.econbiz.de/10013491195
Saved in:
5
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
6
Affine models with stochastic market price of risk
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
Saved in:
7
Coupling backward induction with Monte Carlo simulations : a fast Fourier transform (FFT) approach
Rebonato, Riccardo
- In:
Applied mathematical finance
5
(
1998
)
2
,
pp. 131-141
Persistent link: https://www.econbiz.de/10001245473
Saved in:
8
The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
Saved in:
9
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo
;
Joshi, Mark
- In:
International journal of theoretical and applied finance
5
(
2002
)
7
,
pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
Saved in:
10
[Rezension von: Rebonato, Riccardo, Modern pricing of interest-rate derivatives, the LIBOR market model and beyond]
Das, Sanjiv R.
- In:
Journal of economic literature
42
(
2004
)
2
,
pp. 528-529
Persistent link: https://www.econbiz.de/10002166536
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