A hybrid commodity and interest rate market model (Q5397405): Difference between revisions
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Property / cites work: The Market Model of Interest Rate Dynamics / rank | |||
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Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank | |||
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Property / cites work: LIBOR and swap market models and measures / rank | |||
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Property / cites work: Continuous-time term structure models: Forward measure approach / rank | |||
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Property / cites work: A multicurrency extension of the lognormal interest rate market models / rank | |||
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Latest revision as of 09:47, 7 July 2024
scientific article; zbMATH DE number 6260354
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English | A hybrid commodity and interest rate market model |
scientific article; zbMATH DE number 6260354 |
Statements
A hybrid commodity and interest rate market model (English)
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20 February 2014
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arbitrage pricing
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calibration of deterministic volatility
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commodity markets
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computational finance
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derivative pricing models
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interest rate modelling
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interest rate derivatives
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