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Libor model with expiry-wise s...
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Yield curve
Optionspreistheorie
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Schoenmakers, John
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4
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3
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Papapantoleon, Antonis
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ECONIS (ZBW)
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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
Saved in:
2
Sovereign CDS spreads, volatility, and liquidity : evidence from 2010 German short sale ban
Pu, Xiaoling
;
Zhang, Jianing
- In:
The financial review : the official publication of the …
47
(
2012
)
1
,
pp. 171-197
Persistent link: https://www.econbiz.de/10009500710
Saved in:
3
The informational content of the embedded deflation option in TIPS
Grishchenko, Olesya V.
;
Vanden, Joel M.
;
Zhang, Jianing
- In:
Journal of banking & finance
65
(
2016
),
pp. 1-26
Persistent link: https://www.econbiz.de/10011634318
Saved in:
4
Endogenous interest rate dynamics in asset markets
Reiß, Oliver
(
contributor
);
Schoenmakers, John
(
contributor
)
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001593794
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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:
8
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
Saved in:
9
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:
10
A jump-diffusion Libor model and its robust calibration
Belomestny, Denis
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003324469
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