SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Interest Rate Models Theory and Practice
0 references·16 citing·45 second hopsampled
Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory and PracticeOn the Heston Model with Stochastic Interest Rates (2011)On the Heston Model with Stoc…Interest Rates and The Credit Crunch: New Formulas and Market Models (2009)Interest Rates and The Credit…High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)High order discretization sch…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …A comparison of biased simulation schemes for stochastic volatility models (2009)A comparison of biased simula…Modelling and management of mortality risk: a review (2008)Modelling and management of m…Putting a Price on Temperature* (2007)Putting a Price on Temperatur…Time discretization and Markovian iteration for coupled FBSDEs (2006)Time discretization and Marko…Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…Normal mixture GARCH(1,1): applications to exchange rate modelling (2006)Normal mixture GARCH(1,1): ap…A Comparison of Biased Simulation Schemes for Stochastic Volatility Models (2006)A Comparison of Biased Simula…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…The Lévy LIBOR model (2005)The Lévy LIBOR modelCredit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2004)Credit default swap calibrati…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…Monte Carlo methods for the valuation of multiple exercise options (2003)Monte Carlo methods for the v…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Fourier space time-stepping for option pricing with Lévy models (2008)A Fourier Transform Method for Spread Option Pricing (2010)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)On cox processes and credit risky securities (1998)Modeling Term Structures of Defaultable Bonds (1999)Credit Risk: Modeling, Valuation and Hedging (2004)Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Computational techniques for basic affine models of portfolio credit risk (2009)Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011)Brownian Motion and Stochastic Calculus (2007)Time Dependent Heston Model (2010)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlation structure and dynamics in volatile markets (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Continuous Martingales and Brownian Motion (1999)A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)First order strong approximations of scalar SDEs defined in a domain (2014)Pricing Swap Default Risk (1994)A General Formula for Valuing Defaultable Securities (2004)Interest rate models : theory and practice : with smile, inflation and credit (2006)Credit value adjustment for credit default swaps via the structural default model (2009)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (2012)Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)Understanding, modelling and managing longevity risk: key issues and main challenges (2010)Bayesian Stochastic Mortality Modelling for Two Populations (2011)Measuring Basis Risk in Longevity Hedges (2011)A comprehensive review of Value at Risk methodologies (2013)Statistical Analysis of the Exchange Rate of Bitcoin (2015)Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2003Pricing and Hedging Spread Options338 cited
  • 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
  • 2008Modelling and management of mortality risk: a review254 cited
  • 2011On the Heston Model with Stochastic Interest Rates248 cited
  • 2006Normal mixture GARCH(1,1): applications to exchange rate modelling205 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
  • 2004Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model163 cited
  • 2003Monte Carlo methods for the valuation of multiple exercise options141 cited
  • 2007Putting a Price on Temperature*120 cited
  • 2009Interest Rates and The Credit Crunch: New Formulas and Market Models118 cited
  • 2005The Lévy LIBOR model111 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2006
Time discretization and Markovian iteration for coupled FBSDEs
106 cited
  • 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited