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- Type Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives 2019-05-14 Paper...10 bytes (16 words) - 12:50, 28 January 2024
- Publication Date of Publication Type Stochastic volatility for interest rate derivatives 2014-09-05 Paper...10 bytes (16 words) - 09:23, 7 October 2023
- Publication Date of Publication Type Interest rate derivatives. Valuation, calibration and sensitivity analysis 2012-11-28 Paper...10 bytes (16 words) - 08:06, 7 October 2023
- Publication Date of Publication Type Pricing interest-rate derivatives. A Fourier-transform based approach. 2008-02-28 Paper...10 bytes (16 words) - 03:07, 7 October 2023
- Publication Date of Publication Type A quantum mechanics for interest rate derivatives markets 2022-09-24 Paper...10 bytes (18 words) - 13:51, 7 October 2023
- Publication Date of Publication Type FFT network for interest rate derivatives with Lévy processes 2017-12-12 Paper...10 bytes (16 words) - 19:23, 24 September 2023
- related to house prices 2022-03-10 Paper Dividend derivatives 2021-09-03 Paper Dividend derivatives 2018-11-14 Paper Extracting market information from...10 bytes (18 words) - 02:57, 11 December 2023
- 2017-11-09 Paper Alpha-CIR model with branching processes in sovereign interest rate modeling 2017-07-21 Paper https://portal.mardi4nfdi.de/entity/Q2978935...10 bytes (16 words) - 03:47, 12 December 2023
- portfolio outcomes 2006-08-21 Paper Generalising Interest Rate Duration with Directional Derivatives: Direction X and Applications 1998-06-22 Paper https://portal...10 bytes (18 words) - 05:13, 12 December 2023
- Paper SABR/LIBOR market models: pricing and calibration for some interest rate derivatives 2016-04-28 Paper Numerical methods to solve PDE models for pricing...10 bytes (20 words) - 13:55, 10 December 2023
- Ornstein–Uhlenbeck model 2021-03-11 Paper Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation...10 bytes (17 words) - 13:52, 12 December 2023
- switching state variables 2006-08-21 Paper The surprise element: Jumps in interest rates. 2003-02-17 Paper A theory of optimal timing and selectivity 1999-06-20...10 bytes (18 words) - 01:26, 11 December 2023
- harmonic generation in Bargmann–Hilbert spaces’ 2014-03-28 Paper Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding...10 bytes (18 words) - 13:36, 11 December 2023
- multicurve interest rate modeling 2019-12-03 Paper Cliquet option pricing in a jump-diffusion Lévy model 2019-05-17 Paper PRICING TEMPERATURE DERIVATIVES UNDER...10 bytes (17 words) - 14:21, 28 January 2024
- finance 2004-09-24 Paper Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates 2004-05-27 Paper Step Options 2001-11-26...10 bytes (16 words) - 01:47, 11 December 2023
- quantization and generalized coherent state transforms 2014-02-27 Paper Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu...10 bytes (20 words) - 14:39, 28 January 2024
- Malliavin derivatives of diffusion processes 2006-05-24 Paper CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT...10 bytes (16 words) - 16:43, 6 October 2023
- extinction 2020-12-15 Paper Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 2018-09-06 Paper...10 bytes (16 words) - 10:44, 6 October 2023
- Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives 2023-02-28 Paper...10 bytes (20 words) - 21:13, 27 December 2023
- de/entity/Q4791400 2003-02-06 Paper Delta, gamma and bucket hedging of interest rate derivatives 1995-10-18 Paper...10 bytes (18 words) - 02:42, 7 October 2023
