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A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
Deschatre, Thomas; Warin, Xavier - In: Quantitative finance 24 (2024) 8, pp. 1157-1176
Persistent link: https://www.econbiz.de/10015196875
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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
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …
Persistent link: https://www.econbiz.de/10011516038
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Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
Pelsser, Antoon - 2002
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10010325024
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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - 2002
swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo …
Persistent link: https://www.econbiz.de/10010325053
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A note on the pricing of real estate index linked swaps
Björk, Tomas; Clapham, Eric - 2002
correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …
Persistent link: https://www.econbiz.de/10010281429
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Over the rainbow : developments in exotic options and complex swaps
Jarrow, Robert A. (contributor) - 1995
Persistent link: https://www.econbiz.de/10004314951
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A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
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Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models
Pang, Kin - In: Review of derivatives research 2 (1999) 4, pp. 315-345
Persistent link: https://www.econbiz.de/10001445802
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A guide to volatility and variance swaps
Demeterfi, Kresimir (contributor) - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10001432447