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- Interest rate models: an infinite dimensional stochastic analysis perspective 2006-07-27 Paper A note of invariant measures for HJM models 2006-05-24 Paper...10 bytes (18 words) - 20:45, 12 December 2023
- Publication Date of Publication Type Pricing caps with HJM models: the benefits of humped volatility 2010-12-20 Paper...10 bytes (16 words) - 10:31, 6 October 2023
- of Publication Type Finite‐dimensional Realizations of Regime‐switching HJM Models 2008-09-05 Paper...10 bytes (16 words) - 14:38, 28 January 2024
- Date of Publication Type PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS 2014-11-05 Paper...10 bytes (20 words) - 10:50, 7 October 2023
- Publication Date of Publication Type Multi-curve HJM modelling for risk management 2018-11-14 Paper...10 bytes (17 words) - 23:52, 27 December 2023
- Publication Date of Publication Type Multi-curve HJM modelling for risk management 2018-11-14 Paper Large fluctuations of the nonlinearities in isotropic...10 bytes (17 words) - 03:41, 7 October 2023
- 1998-12-28 Paper Valuation and hedging of contingent claims in the HJM model with deterministic volatilities 1998-01-25 Paper THE EARLY EXERCISE PREMIUM REPRESENTATION...10 bytes (16 words) - 00:40, 9 December 2023
- distribution of returns in the exponential Ornstein–Uhlenbeck model 2019-10-22 Paper A Stylized Model for Long-Run Index Return Dynamics 2018-11-19 Paper Impact...10 bytes (17 words) - 12:49, 12 December 2023
- COLLATERALIZATION AND FX MARKET DISLOCATIONS 2017-10-13 Paper Parsimonious HJM modelling for multiple yield curve dynamics 2014-09-05 Paper Pricing exotic options...10 bytes (16 words) - 17:24, 24 September 2023
- 2013-06-24 Paper Financial modeling. A backward stochastic differential equations perspective 2013-04-08 Paper A multiple-curve HJM model of interbank risk 2013-02-26...10 bytes (16 words) - 10:39, 6 October 2023
- affine realisations of HJM models in terms of forward rates and yields 2004-02-03 Paper Classes of interest rate models under the HJM framework 2003-12-04...10 bytes (18 words) - 12:39, 24 September 2023
- the CEV model: implications for pricing and hedging 2020-11-10 Paper The early exercise boundary under the jump to default extended CEV model 2020-07-17...10 bytes (20 words) - 14:39, 28 January 2024
- Publication Date of Publication Type A multi-curve HJM factor model for pricing and risk management 2023-12-14 Paper Randomization and the valuation of...10 bytes (16 words) - 15:55, 11 December 2023
- analysis on the Japanese markets via S. Taylor's model 2009-02-06 Paper An implementation of the HJM model with application to Japanese interest futures 2009-02-06...10 bytes (17 words) - 12:52, 6 October 2023
- THE DOUBLE HESTON MODEL 2012-10-15 Paper Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model 2012-02-10 Paper...10 bytes (16 words) - 15:02, 10 December 2023
- risk models 2018-07-11 Paper A bivariate model for evaluating equity-linked policies with surrender option 2018-07-11 Paper A LATTICE-BASED MODEL FOR EVALUATING...10 bytes (17 words) - 13:30, 7 October 2023
- two-state Markovian HJM models 2011-05-27 Paper Computationally simple lattice methods for option and bond pricing 2009-11-16 Paper A binomial model for valuing...10 bytes (16 words) - 06:46, 7 October 2023
- FOR FUNDING, COLLATERAL AND DISCOUNTING 2015-05-11 Paper Parsimonious HJM modelling for multiple yield curve dynamics 2014-09-05 Paper CLUSTER-BASED EXTENSION...10 bytes (16 words) - 12:32, 24 September 2023
- market model 2011-01-31 Paper Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model 2011-01-28...10 bytes (17 words) - 22:32, 8 December 2023
- portfolio optimisation in Heston's stochastic volatility model 2024-04-12 Paper A multi-curve HJM factor model for pricing and risk management 2023-12-14 Paper...10 bytes (16 words) - 21:28, 24 September 2023
