Approximate pricing of swaptions in affine and quadratic models (Q4555143): Difference between revisions

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+W3125253249
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+LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
@@ Property / cites work: LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING / rank @@
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
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+Variance-optimal hedging for processes with stationary independent increments
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+SWAPTION PRICING IN AFFINE AND OTHER MODELS
@@ Property / cites work: SWAPTION PRICING IN AFFINE AND OTHER MODELS / rank @@
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+Parsimonious HJM modelling for multiple yield curve dynamics
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+Stochastic duration and fast coupon bond option pricing in multi-factor models
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+PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS
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+PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
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+PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
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