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2012-04-05 Paper Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 2011-10-27 Paper Games with Exhaustible Resources 2011-04-08...

2018-07-25 Paper FFT network for interest rate derivatives with Lévy processes 2017-12-12 Paper Dual-curve Hull-White interest rate model with stochastic volatility...

On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives 2003-09-28 Paper Reward functionals, salvage values, and optimal...

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...

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...

CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS 2005-10-27 Paper The valuation of American...

PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS 2009-08-10 Paper UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES 2009-06-23...

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...

hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates 2002-09-04 Paper https://portal...

callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates 2012-07-04 Paper Hermite spectral and pseudospectral...

demand rate, finite rate of production and shortages 2007-05-09 Paper Optimal ordering policies when the supplier provides a progressive interest scheme...

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...

Variance and interest rate risk in unit-linked insurance policies 2020-06-26 Paper Modeling and estimation of stochastic transition rates in life insurance...

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...

hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates 2002-09-04 Paper The generalization...

early exercisable derivatives: bounds, estimation and removal 2021-07-16 Paper Non-parametric pricing of long-dated volatility derivatives under stochastic...

Paper A two-factor model for low interest rate regimes 2005-12-09 Paper A fair pricing approach to weather derivatives 2005-12-09 Paper Diversified portfolios...

Type On the risk management of demand deposits: quadratic hedging of interest rate margins 2022-07-05 Paper Mixed-asset portfolio allocation under mean-reverting...

RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE 2001-10-10 Paper European option pricing when the riskfree interest rate follows a jump process 2001-05-11...

Long-term returns in stochastic interest rate models: convergence in law 1998-05-04 Paper Long-term returns in stochastic interest rate models 1996-01-15 Paper...