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A binomial approximation for two-state Markovian HJM models
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Review of derivatives research 14 (2011) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
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A probabilistic approach to the valuation of general floating rate notes
El Karoui, Nicole; Geman, Hélyette - 1992 - Version: October 1992
Persistent link: https://www.econbiz.de/10000875939
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Gauß-Zinsmodelle und Bewertung an der Deutschen Terminbörse
Madjlessi, Foruhar - 1996
Persistent link: https://www.econbiz.de/10000964136
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The Probability Density of the Processes of Short Interest Rates
Medvedev, Gennady - 2017
Persistent link: https://www.econbiz.de/10012953995
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Fast greeks by simulation in forward LIBOR models
Glasserman, Paul; Zhao, Xiaoliang - In: The journal of computational finance 3 (1999) 1, pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
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Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives
Bhar, Ramaprasad; Chiarella, Carl - In: The European journal of finance 6 (2000) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10001519354
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Pricing of swaps with default risk
Li, Haitao - In: Review of derivatives research 2 (1998) 2/3, pp. 231-250
Persistent link: https://www.econbiz.de/10001497946
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Exotische Zinsswaps : Bewertung, Hedging und Analyse
Bardenhewer, Martin Maria - 2000 - 1. Aufl
Persistent link: https://www.econbiz.de/10001506472
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The valuation of interest rate digital options and range notes revisited
Navatte, Patrick; Quittard-Pinon, François - In: European financial management : the journal of the … 5 (1999) 3, pp. 425-440
Persistent link: https://www.econbiz.de/10001446911
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Credit risk modelling and credit derivatives
Schönbucher, Philipp J. - 2000
Persistent link: https://www.econbiz.de/10001449548