Narrow search
Showing 1 - 10 of 62
Cover Image
Pricing interest rate derivatives under stochastic volatility
Tahani, Nabil; Li, Xiaofei - In: Managerial finance 37 (2011) 1, pp. 72-91
Persistent link: https://www.econbiz.de/10009007106
Cover Image
Pricing interest rate derivatives under stochastic volatility
Tahani, Nabil; Li, Xiaofei - In: Managerial Finance 37 (2011), pp. 72-91
Purpose – The purpose of this paper is to derive semi-closed-form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine-term structure models. Design/methodology/approach –The paper first derives the Frobenius series solution to the...
Persistent link: https://www.econbiz.de/10010814814
Cover Image
Pricing interest rate derivatives under stochastic volatility
Tahani, Nabil; Li, Xiaofei - In: Managerial finance 37 (2011) 1, pp. 72-92
Persistent link: https://www.econbiz.de/10008768378
Cover Image
Valuing credit derivatives using Gaussian quadrature : a stochastic volatility framework
Tahani, Nabil - In: The journal of futures markets 24 (2004) 1, pp. 3-35
Persistent link: https://www.econbiz.de/10001850811
Cover Image
Exotic geometric average options pricing under stochastic volatility
Tahani, Nabil - In: Applied mathematical finance 20 (2013) 3/4, pp. 229-245
Persistent link: https://www.econbiz.de/10010187667
Cover Image
Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Cover Image
The challenges facing young workers during rural labor transition
Li, Xiaofei; Chengfang, Liu; Renfu, Luo; Zhang, Linxiu; … - In: China agricultural economic review : publ. in … 2 (2010) 2, pp. 185-199
Persistent link: https://www.econbiz.de/10008859421
Cover Image
Modeling the dynamics of credit spreads with stochastic volatility
Jacobs, Kris; Li, Xiaofei - In: Management science : journal of the Institute for … 54 (2008) 6, pp. 1176-1188
Persistent link: https://www.econbiz.de/10003737492
Cover Image
Organic farms' seasonal farm labour-sourcing strategies in the pre-"Arizona" mode of immigration control
Escalante, Cesar L.; Wu, Ya; Li, Xiaofei - In: Applied economics letters 23 (2016) 4/6, pp. 341-346
Persistent link: https://www.econbiz.de/10011430583
Cover Image
Pre-recession efficiencies and input allocation decisions of agricultural and critically insolvent banks
Li, Xiaofei; Brewer, Brady; Escalante, Cesar - In: Applied economics 50 (2018) 32, pp. 3515-3531
Persistent link: https://www.econbiz.de/10012038693