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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Swaption pricing in affine and other models
Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
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Admissibility of generic market models of forward swap rates
Li, Libo; Rutkowski, Marek - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
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In-arrears interest rate derivatives under the 3/2 model
Goard, Joanna - In: Modern economy 6 (2015) 6, pp. 707-716
Persistent link: https://www.econbiz.de/10011384559
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Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo; Torri, Gabriele - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 275-295
Persistent link: https://www.econbiz.de/10011993481
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Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
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Bank lending and interest-rate derivatives
Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011781357
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Fast swaption pricing in Gaussian term structure models
Choi, Jaehyuk; Shin, Sungchan - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 962-982
Persistent link: https://www.econbiz.de/10011583816