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Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan - In: Applied mathematical finance 23 (2016) 5/6, pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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Explosive behavior in a log-normal interest rate model
Pirjol, Dan - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
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Small-noise limit of the quasi-Gaussian log-normal HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11
Persistent link: https://www.econbiz.de/10011687046
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Explosion in the quasi-Gaussian HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666
Persistent link: https://www.econbiz.de/10011945882
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Short-maturity asymptotics for option prices with interest rate effects
Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28
Persistent link: https://www.econbiz.de/10014500189