Narrow search
Showing 1 - 10 of 30
Cover Image
Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François; Boudreault, Mathieu; … - In: The journal of futures markets 44 (2024) 1, pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
Cover Image
Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of futures markets 29 (2009) 8, pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
Cover Image
Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
Guo, Jia-hau - In: The journal of futures markets 31 (2011) 4, pp. 340-370
Persistent link: https://www.econbiz.de/10008908378
Cover Image
Convexity meets replication : hedging of swap derivatives and annuity options
Zheng, Wendong; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 7, pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
Cover Image
Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
Cover Image
The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
Cover Image
Equity swaps in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 27 (2007) 9, pp. 893-920
Persistent link: https://www.econbiz.de/10003518527
Cover Image
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Cover Image
Using multivariate densities to assign lattice probabilities when there are jumps
Hilliard, Jimmy E.; Hilliard, Jitka - In: The journal of futures markets 35 (2015) 4, pp. 385-398
Persistent link: https://www.econbiz.de/10011348412
Cover Image
Piecewise linear boundary crossing probabilities, barrier options, and variable annuities
Lee, Hangsuck; Ha, Hongjun; Lee, Minha - In: The journal of futures markets 42 (2022) 12, pp. 2248-2272
Persistent link: https://www.econbiz.de/10013465884