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- TIME-HOMOGENEOUS SEPARABLE LMMs 2017-04-13 Paper Stochastic volatility for interest rate derivatives 2014-09-05 Paper IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING...10 bytes (17 words) - 15:13, 7 December 2023
- in the interest rate term structure and option prices 2005-01-12 Paper Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives:...10 bytes (16 words) - 13:08, 7 October 2023
- The Valuation and Hedging of Variable Rate Savings Accounts 2005-03-30 Paper On the information in the interest rate term structure and option prices 2005-01-12...10 bytes (18 words) - 09:51, 6 October 2023
- gamma and bucket hedging of interest rate derivatives 1995-10-18 Paper Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent...10 bytes (19 words) - 22:09, 9 December 2023
- extension of analytically-tractable and time-homogeneous short-rate models 2001-12-12 Paper Interest rate models -- theory and practice 2001-07-09 Paper Claim pricing...10 bytes (17 words) - 23:12, 8 December 2023
- correlated mortality and interest risks: a change of probability measure approach 2016-06-10 Paper Pricing and risk management of interest rate swaps 2016-03-15...10 bytes (19 words) - 22:52, 9 December 2023
- Paper Pricing rate of return guarantees in regular premium unit linked insurance 2005-01-13 Paper On the information in the interest rate term structure...10 bytes (18 words) - 14:47, 7 December 2023
- extended CIR interest rate model 2019-02-14 Paper Dynamic safety first expected utility model 2018-07-25 Paper FFT network for interest rate derivatives with Lévy...10 bytes (19 words) - 01:35, 11 December 2023
- 2017-02-09 Paper Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model 2017-01-10 Paper Investment timing...10 bytes (18 words) - 11:27, 11 December 2023
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS 2005-10-27 Paper The valuation of American...10 bytes (18 words) - 02:17, 10 December 2023
- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS 2009-08-10 Paper UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES 2009-06-23...10 bytes (19 words) - 10:32, 9 December 2023
- discretized stochastic (interest rate) processes with stochastic drift term 1999-03-14 Paper Long-term returns in stochastic interest rate models: different...10 bytes (16 words) - 15:55, 11 December 2023
- estimating the term structure of interest rates 2002-04-11 Paper The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims 2001-03-29...10 bytes (16 words) - 19:05, 9 December 2023
- hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates 2002-09-04 Paper https://portal...10 bytes (16 words) - 15:34, 12 December 2023
- callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates 2012-07-04 Paper Hermite spectral and pseudospectral...10 bytes (17 words) - 20:08, 9 December 2023
- demand rate, finite rate of production and shortages 2007-05-09 Paper Optimal ordering policies when the supplier provides a progressive interest scheme...10 bytes (18 words) - 03:33, 10 December 2023
- 2023-06-21 Paper A double obstacle model for pricing bi-leg defaultable interest rate swaps 2022-12-08 Paper Optimal control model of an enterprise for single...10 bytes (17 words) - 14:45, 10 December 2023
- and stochastic interest rates 2014-04-03 Paper The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 2013-12-13 Paper...10 bytes (18 words) - 02:03, 12 December 2023
- hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates 2002-09-04 Paper The generalization...10 bytes (16 words) - 11:00, 6 October 2023
- Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach 2019-01-14 Paper Using interest rate derivative prices to estimate...10 bytes (18 words) - 13:36, 11 December 2023
