VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
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Publication:5488974
DOI10.1111/J.1467-9965.2006.00270.XzbMATH Open1145.91023OpenAlexW2008476840MaRDI QIDQ5488974FDOQ5488974
Ernst Eberlein, Wolfgang Kluge
Publication date: 25 September 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00270.x
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Cites Work
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- Lévy term structure models: no-arbitrage and completeness
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- Term structure models driven by general Lévy processes
- The Defaultable Lévy Term Structure: Ratings and Restructuring
- Variance-optimal hedging for processes with stationary independent increments
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- MultiFactor Valuation of Floating Range Notes
Cited In (17)
- A pure-jump mean-reverting short rate model
- Notes on exact and semi-exact Lévy models for the valuation of CDOs
- MultiFactor Valuation of Floating Range Notes
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- Existence of Lévy term structure models
- Rational term structure models with geometric Lévy martingales
- Analysis of Fourier Transform Valuation Formulas and Applications
- Valuing qualitative options with stochastic volatility
- A NOTE ON RISKY BOND VALUATION
- SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
- A multiple-curve HJM model of interbank risk
- A Unified View of LIBOR Models
- A finite-interval uniqueness theorem for bilateral Laplace transforms
- On the valuation of compositions in Lévy term structure models
- Real-World Forward Rate Dynamics With Affine Realizations
- Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework
- Valuing early-exercise interest-rate options with multi-factor affine models
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