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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 81-93
Persistent link: https://www.econbiz.de/10001487041
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998
Persistent link: https://www.econbiz.de/10000997340
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On the hedging of interest rate margins on bank demand deposits
Cherrat, Hamza; Prigent, Jean-Luc - In: Computational economics 62 (2023) 3, pp. 935-967
Persistent link: https://www.econbiz.de/10014382850
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Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
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A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Computational economics 54 (2019) 1, pp. 367-417
Persistent link: https://www.econbiz.de/10012134192
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On the risk management of demand deposits : quadratic hedging of interest rate margins
Adam, Alexandre; Cherrat, Hamza; Houkari, Mohamed; … - In: Risk management decisions and value under uncertainty, (pp. 1319-1355). 2022
Persistent link: https://www.econbiz.de/10013342119
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, J. P.; Prigent, J. L.; Scaillet, O. - 1998
Persistent link: https://www.econbiz.de/10001363446