Pages that link to "Item:Q4372046"
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The following pages link to The Market Model of Interest Rate Dynamics (Q4372046):
Displayed 50 items.
- A tractable LIBOR model with default risk (Q356479) (← links)
- A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548) (← links)
- A stochastic control problem with delay arising in a pension fund model (Q483928) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- Interest rate theory and geometry (Q604623) (← links)
- A numerical method for pricing spread options on LIBOR rates with a PDE model (Q622981) (← links)
- Moment explosion in the LIBOR market model (Q633049) (← links)
- Fast delta computations in the swap-rate market model (Q633332) (← links)
- New no-arbitrage conditions and the term structure of interest rate futures (Q665727) (← links)
- Pricing rate of return guarantees in regular premium unit linked insurance (Q704417) (← links)
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
- On a stochastic heat equation with first order fractional noises and applications to finance (Q714080) (← links)
- An approximation of caplet implied volatilities in Gaussian models (Q816447) (← links)
- Implied default probability and credit derivatives (Q816767) (← links)
- Consistency among trading desks (Q854281) (← links)
- Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
- Efficient rank reduction of correlation matrices (Q875015) (← links)
- Generic market models (Q881416) (← links)
- A bootstrap test for the comparison of nonlinear time series (Q961279) (← links)
- The role of coefficients of a general SPDE on the stability and convergence of a finite difference method (Q972748) (← links)
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544) (← links)
- Chaos expansion for the solutions of stochastic differential equations (Q1285774) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- Pricing and hedging guaranteed annuity options via static option replication. (Q1423359) (← links)
- A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives (Q1424651) (← links)
- Forward rate models with linear volatilities (Q1761457) (← links)
- Spectral collocation method for stochastic Burgers equation driven by additive noise (Q1761626) (← links)
- A competing risks analysis of the duration of federal target funds rates (Q1762045) (← links)
- Optimal low-rank approximation to a correlation matrix (Q1870071) (← links)
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations (Q1938899) (← links)
- Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering (Q1954673) (← links)
- Dependence structure between LIBOR rates by copula method (Q2258129) (← links)
- Interest rate term structure modelling (Q2275618) (← links)
- What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277) (← links)
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates (Q2463567) (← links)
- Negative Libor rates in the swap market model (Q2463709) (← links)
- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration (Q2469854) (← links)
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
- A new simulation approach to the LIBOR market model (Q2476718) (← links)
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor (Q2643675) (← links)
- FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS (Q2786342) (← links)
- EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL (Q2842536) (← links)
- LIBOR MARKET MODEL UNDER THE REAL-WORLD MEASURE (Q2842538) (← links)
- FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS (Q2847241) (← links)
- RATING BASED LÉVY LIBOR MODEL (Q2851557) (← links)
- THE AFFINE LIBOR MODELS (Q2851558) (← links)
- ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL (Q2882688) (← links)
- ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES (Q2927948) (← links)
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations (Q3005813) (← links)