Pages that link to "Item:Q1849789"
From MaRDI portal
The following pages link to A multicurrency extension of the lognormal interest rate market models (Q1849789):
Displayed 12 items.
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← 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)
- Pricing currency derivatives with Markov-modulated Lévy dynamics (Q2513442) (← links)
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations (Q3005813) (← links)
- On swap rate dynamics: to freeze or not to freeze? (Q3174922) (← links)
- A cross-currency Lévy market model (Q3437405) (← links)
- Calibrating a market model with stochastic volatility to commodity and interest rate risk (Q4555116) (← links)
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
- A Multiple Curve Lévy Swap Market Model (Q4994676) (← links)
- ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM (Q5234011) (← links)
- A hybrid commodity and interest rate market model (Q5397405) (← links)
- Pricing inflation-indexed derivatives (Q5711168) (← links)