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SYMMETRIES IN LÉVY TERM STRUCT...
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Eberlein, Ernst
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Mathematical finance : an international journal of mathematics, statistics and financial theory
5
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ECONIS (ZBW)
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Symmetries in Lévy term structure models
Eberlein, Ernst
;
Kluge, Wolfgang
;
Papapantoleon, Antonis
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 967-986
Persistent link: https://www.econbiz.de/10003380316
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2
Valuation of floating range notes in Lévy term-structure models
Eberlein, Ernst
;
Kluge, Wolfgang
- In:
Mathematical finance : an international journal of …
16
(
2006
)
2
,
pp. 237-254
Persistent link: https://www.econbiz.de/10003325838
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3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
Kallsen, Jan
(
ed.
);
Papapantoleon, Antonis
(
ed.
); …
-
2016
Persistent link: https://www.econbiz.de/10013457208
Saved in:
4
Picard approximation of stochastic differential equations and application to LIBOR models
Papapantoleon, Antonis
;
Skovmand, David
-
2010
Persistent link: https://www.econbiz.de/10008651711
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5
Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
-
2011
Persistent link: https://www.econbiz.de/10009152332
Saved in:
6
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
7
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
8
A tractable LIBOR model with default risk
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Mathematics and financial economics
7
(
2013
)
2
,
pp. 203-227
Persistent link: https://www.econbiz.de/10009736861
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9
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
10
Term structure models driven by general Lévy processes
Eberlein, Ernst
;
Raible, Sebastian
- In:
Mathematical finance : an international journal of …
9
(
1999
)
1
,
pp. 31-53
Persistent link: https://www.econbiz.de/10001363481
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