Tenor specific pricing
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Publication:4649506
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Cites work
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- A multi-quality model of interest rates
- A theory of the term structure of interest rates
- Coherent measures of risk
- Coherent risk measures and good-deal bounds
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Risk measures via \(g\)-expectations
Cited in
(11)- Measuring and monitoring the efficiency of markets
- Asset pricing theory for two price economies
- From credit valuation adjustments to credit capital commitments
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- CONIC TRADING IN A MARKOVIAN STEADY STATE
- Conic portfolio theory
- Two price economies in continuous time
- Benchmarking in two price financial markets
- Dynamic conic hedging for competitiveness
- Nonlinear equity valuation using conic finance and its regulatory implications
- Bid and ask prices as non-linear continuous time G-expectations based on distortions
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