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~subject:"Zinsstruktur"
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Zinsstruktur
Theorie
51
Theory
44
Optionspreistheorie
34
Option pricing theory
32
Risiko
16
Yield curve
16
Interest rate derivative
15
Monte Carlo simulation
15
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15
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14
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14
Stochastischer Prozess
14
Suchtheorie
13
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12
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11
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10
Robustes Verfahren
10
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9
Estimation theory
8
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8
Statistische Verteilung
8
optimal stopping
8
Anlageverhalten
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7
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7
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6
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5
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5
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5
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Decision under uncertainty
5
Derivat
5
Derivative
5
Entscheidung unter Unsicherheit
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5
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5
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5
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English
16
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Schoenmakers, John
16
Belomestny, Denis
5
Kolodko, Anastasia
4
Kurbanmuradov, O.
2
Papapantoleon, Antonis
2
Reiß, Oliver
2
Sabelfeld, K.
2
Schweizer, Martin
2
Skovmand, David
2
Coffey, Brian
1
Ladkau, Marcel
1
Matthew, Stanley
1
Zhang, Jianing
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Weierstraß-Institut für Angewandte Analysis und Stochastik
3
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Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
International journal of theoretical and applied finance
2
SFB 649 discussion paper
2
The journal of computational finance
2
CREATES research paper
1
Finance and stochastics
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International Journal of Portfolio Analysis and Management
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ECONIS (ZBW)
16
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1
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John
-
2002
Persistent link: https://www.econbiz.de/10001724376
Saved in:
2
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:
3
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:
4
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:
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
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:
7
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:
8
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:
9
A jump-diffusion Libor model and its robust calibration
Belomestny, Denis
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003324469
Saved in:
10
Pricing CMS spreads in the Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
-
2008
Persistent link: https://www.econbiz.de/10003809706
Saved in:
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