Narrow search
Showing 1 - 10 of 16
Cover Image
Endogenous interest rate dynamics in asset markets
Reiß, Oliver (contributor); Schoenmakers, John (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001593794
Cover Image
Lognormal random field approximations to LIBOR market models
Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]
We study several approximations for the LIBOR market models presented in Brace, Gatarek, Musiela (1997), Jamshidian (1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random...
Persistent link: https://www.econbiz.de/10001544522
Cover Image
Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
Cover Image
Systematic generation of parametric correlation structures for the LIBOR market model
Schoenmakers, John; Coffey, Brian - In: International journal of theoretical and applied finance 6 (2003) 5, pp. 507-519
Persistent link: https://www.econbiz.de/10001787582
Cover Image
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2002
Persistent link: https://www.econbiz.de/10015209239
Cover Image
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
Cover Image
Libor model with expiry-wise stochastic volatility and displacement
Ladkau, Marcel; Schoenmakers, John; Zhang, Jianing - In: International Journal of Portfolio Analysis and Management 1 (2013) 3, pp. 224-249
Persistent link: https://www.econbiz.de/10010190489
Cover Image
Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Cover Image
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