Similar Search Results - EconBiz

CVA under alternative settlement conventions and with systemic risk

Durand, Cyril; Rutkowski, Marek - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-40

Persistent link: https://www.econbiz.de/10010233319

Stabilizing Log-Normal Diffusion in View of Compounding Swaps Funding Risk Credit Valuation Adjustment (FRCVA)

Durand, Cyril - 2015

We discuss several methodologies for stabilizing the diffusion of compounding instruments modeled by means of lognormal instantaneous interest rate models. We first delve into alternative mathematical and numerical methodologies before showing that the latter suffer from a high seed sensitivity...

Persistent link: https://www.econbiz.de/10013012794

Models of forward Libor and swap rates

Rutkowski, Marek - In: Applied mathematical finance 6 (1999) 1, pp. 29-60

Persistent link: https://www.econbiz.de/10001449235

Self-financing trading strategies for sliding, rolling-horizon, and consol bonds

Rutkowski, Marek - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 361-385

Persistent link: https://www.econbiz.de/10001444270

A note on the Flesaker-Hughston model of the term structure of interest rates

Rutkowski, Marek - In: Applied mathematical finance 4 (1997) 3, pp. 151-163

Persistent link: https://www.econbiz.de/10001229350

The early exercise premium representation of foreign market American options

Rutkowski, Marek - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 313-325

Persistent link: https://www.econbiz.de/10001185081

Continuous-time term structure models

Musiela, Marek; Rutkowski, Marek - 1996

Persistent link: https://www.econbiz.de/10000940406

Dynamics of spot, forward, and futures libor rates

Rutkowski, Marek - In: International journal of theoretical and applied finance 1 (1998) 3, pp. 425-445

Persistent link: https://www.econbiz.de/10001251045

Continuous-time term structure models : forward measure approach

Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291

Persistent link: https://www.econbiz.de/10001226612

Valuation and hedging of contingent claims in the HJM model with deterministic volatilities

Rutkowski, Marek - In: Applied mathematical finance 3 (1996) 3, pp. 237-267

Persistent link: https://www.econbiz.de/10001217776

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