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Derivate, Arbitrage und Portfolio-Selection : stochastische Finanzmarktmodelle und ihre Anwendungen

Hausmann, Wilfried; Diener, Kathrin; Käsler, Joachim - 2002 - 1. Auflage

Persistent link: https://www.econbiz.de/10014012257

Weak convergence to derivatives of fractional brownian motion

Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 40 (2024) 4, pp. 859-874

Persistent link: https://www.econbiz.de/10015154308

LIBOR market model with multiplicative basis

Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011923001

Arbitrage-free XVA

Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 582-620

Persistent link: https://www.econbiz.de/10011969094

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model

Bertsimas, Dimitris - 1997

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …

Persistent link: https://www.econbiz.de/10012472561

Pricing derivatives in hermite markets

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10012153100

One-dimensional Markov-functional models driven by a non-Gaussian driver

Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100

Persistent link: https://www.econbiz.de/10012162379

Defaultable term structures driven by semimartingales

Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27

Persistent link: https://www.econbiz.de/10012807871

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Chen, Rui - 2014

We propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then...

Persistent link: https://www.econbiz.de/10013045728