Pricing coupon-bond options and swaptions in affine term structure models

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Mathematical finance
1. Verfasser: Singleton, Kenneth J. (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2002
Schlagworte:
Optionspreistheorie > Zinsstruktur > Theorie > Aufsatz in Zeitschrift
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Titel Jahr Verfasser
The numéraire property and long-term growth optimality for drawdown-constrained investments 2017 Kardaras, Constantinos
Sensitivity analysis of nonlinear behavior with distorted probability 2017 Cao, Xi-Ren
Price setting of market makers : a filtering problem with endogenous filtration 2017 Kühn, Christoph
Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure 2017 Cui, Xiangyu
Risk-minimization for life insurance liabilities with dependent mortality risk 2017 Biagini, Francesca
Shadow prices for continuous processes 2017 Czichowsky, Christoph
Pricing for large positions in contingent claims 2017 Robertson, Scott
Option pricing and hedging with execution costs and market impact 2017 Guéant, Olivier
A primal-dual algorithm for BSDES 2017 Bender, Christian
A first-order BSPDE for swing option pricing : classical solutions 2017 Bender, Christian
Density of Skew Brownian motion and its functionals with application in finance 2017 Gairat, Alexander
Local variance gamma and explicit calibration to option prices 2017 Carr, Peter
On the martingale property in stochastic volatility models based on time-homogeneous diffusions 2017 Bernard, Carole
Dynamic trading volume 2017 Guasoni, Paolo
The general structure of optimal investment and consumption with small transaction costs 2017 Kallsen, Jan
Explicit implied volatilities for multifactor local-stochastic volatility models 2017 Lorig, Matthew
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate 2017 Bojarčenko, Svetlana I.
Trading with small price impact 2017 Moreau, Ludovic
Optimal investment for all time horizons and Martin Boundary of space-time diffusions 2017 Nadtochiy, Sergey
Model uncertainty and scenario aggregation 2017 Cambou, Mathieu
Alle Artikel auflisten