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Information content and market liquidity in the fixed income market : evidence from the swaption market

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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model

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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation

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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

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Valuation of real options in incomplete models : an implied yield approach

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Real options valuation : the importance of interest rate modelling in theory and practice

Schulmerich, Marcus - 2010 - 2. ed.

Persistent link: https://www.econbiz.de/10008652962

Merchant commodity storage and term-structure model error

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Real options valuation : the importance of interest rate modelling in theory and practice

Schulmerich, Marcus - 2005

Persistent link: https://www.econbiz.de/10013278105

Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice

Schulmerich, Marcus (contributor) - 2005

This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are...

Persistent link: https://www.econbiz.de/10014014074