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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Svenstrup, Mikkel - In: Journal of financial economics 78 (2005) 3, pp. 651-684
Persistent link: https://www.econbiz.de/10003228840
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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LIBOR market models in practice
Sidenius, Jakob - In: The journal of computational finance 3 (2000) 3, pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
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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
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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001453874
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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001456681