Pages that link to "Item:Q4372046"

The following pages link to The Market Model of Interest Rate Dynamics (Q4372046):

Displaying 50 items.

• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
• A general HJM framework for multiple yield curve modelling (Q287657) (← links)
• Computing the nearest low-rank correlation matrix by a simplified SQP algorithm (Q299647) (← links)
• Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043) (← links)
• A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915) (← links)
• 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)
• Stochastic string models with continuous semimartingales (Q1618536) (← links)
• Studying term structure of SHIBOR with the two-factor Vasicek model (Q1724348) (← links)
• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425) (← 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)
• Numerical multi-scaling method to solve the linear stochastic partial differential equations (Q1993537) (← links)
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
• The waterline tree for separable local-volatility models (Q2013448) (← links)
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
• Valuation of caps and swaptions under a stochastic string model (Q2141896) (← links)
• On the risk management of demand deposits: quadratic hedging of interest rate margins (Q2151679) (← links)
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
• A pure-jump mean-reverting short rate model (Q2209739) (← links)
• Dependence structure between LIBOR rates by copula method (Q2258129) (← links)
• Interest rate term structure modelling (Q2275618) (← links)