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A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
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Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66
Persistent link: https://www.econbiz.de/10001608810
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Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul; Merener, Nicolas - In: The journal of computational finance 7 (2003) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
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The relative valuation of caps and swaptions : theory and empirical evidence
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109
Persistent link: https://www.econbiz.de/10001631728
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The market model of interest rate dynamics
Brace, Alan - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 127-155
Persistent link: https://www.econbiz.de/10001220280
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Bewertung multivariater Derivate : zeit- und zustandsdiskrete Modellierungen
Kobel, Michael - 1996
Persistent link: https://www.econbiz.de/10000562865
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An empirical comparison of default swap pricing models
Houweling, Patrick; Vorst, Ton - 2001
Persistent link: https://www.econbiz.de/10001639524
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An empirical comparison of default swap pricing models
Houweling, Patrick (contributor); Vorst, Ton (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658554
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Approximate Pricing of Swaptions in Affine and Quadratic Models
Gambaro, Anna - 2016
lower bound involves the computation of a one dimensional Fourier transform independently of the swap length. In addition …
Persistent link: https://www.econbiz.de/10013003586
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Stripping of Real Estate-Indexed Swaps and Forward Term Structure : Interest and Computational Method
Drouhin, Pierre-Arnaud Henri - 2015
coupon swap or real estate indexed forwards. A closed-form formula for property swaps based on indexed forwards is … the implied forward term structure using the swap prices. This simple framework enables market practitioners to obtain …
Persistent link: https://www.econbiz.de/10013028978