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Efficient Methods for Valuing Interest Rate Derivatives · Study

BookEfficient Methods for Valuing Interest Rate Derivatives

Antoon A. J. Pelsser2000

Book2000

Efficient Methods for Valuing Interest Rate Derivatives

Antoon A. J. Pelsser

217 citations·0/0 files stored·Springer finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications 2004Option Pricing: Valuation Models and Applications 2008Handbook of Financial Engineering 2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility 2003Mathematical foundation of convexity correction 2004Fast drift-approximated pricing in the BGM model 2007An online estimation scheme for a Hull–White model with HMM-driven parameters

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Year2000

Typebook

Published2000-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations217

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-4471-3888-4

openalex_workW1580540145

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