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Exotische Zinsswaps : Bewertung, Hedging und Analyse

Bardenhewer, Martin Maria - 2000 - 1. Aufl

Persistent link: https://www.econbiz.de/10001506472

The term structure of interest rates as a random field

Goldstein, Robert S. - In: The review of financial studies 13 (2000) 2, pp. 365-384

Persistent link: https://www.econbiz.de/10001485504

Continuous-time term structure models : forward measure approach

Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291

Persistent link: https://www.econbiz.de/10001226612

Invariant measures for the Musiela equation with deterministic diffusion term

Vargiolu, Tiziano - In: Finance and stochastics 3 (1999) 4, pp. 483-492

Persistent link: https://www.econbiz.de/10001412198

On the term structure of futures and forward prices

Björk, Tomas; Landén, Camilla - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 111-149). 2002

Persistent link: https://www.econbiz.de/10001679437

Pricing interest rate derivatives : a general approach

Chacko, George; Das, Sanjiv - In: The review of financial studies 15 (2002) 1, pp. 195-241

Persistent link: https://www.econbiz.de/10001639615

The asymptotic expansion approach to the valuation of interest rate contingent claims

Kunitomo, Naoto; Takahashi, Akihiko - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 117-151

Persistent link: https://www.econbiz.de/10001650922

Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach

D'Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana - In: Credit risk : measurement, evaluation and management ; …, (pp. 49-84). 2003

Persistent link: https://www.econbiz.de/10002001435

Libor Market Models with stochastic volatility and CMS spread option pricing

Lutz, Matthias - 2011

Persistent link: https://www.econbiz.de/10009375797

A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...

Persistent link: https://www.econbiz.de/10003635097