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VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
13 references·3 citing·43 second hop
VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS (2006)VALUATION OF FLOATING RANGE NOTES IN LÉVY…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Exact pricing formulae for caps and swaptions in a Lévy term structure model (2005)Exact pricing formulae for ca…L�vy term structure models: No-arbitrage and completeness (2004)L�vy term structure models: N…The Defaultable Lévy Term Structure: Ratings and Restructuring (2003)The Defaultable Lévy Term Str…MultiFactor Valuation of Floating Range Notes (2003)MultiFactor Valuation of Floa…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…The Valuation of Interest Rate Digital Options and Range Notes Revisited (1999)The Valuation of Interest Rat…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Martingale Methods in Financial Modelling (1998)Martingale Methods in Financi…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Fourier-Based Valuation Methods in Mathematical Finance (2013)Fourier-Based Valuation Metho…Analytic valuation formulas for range notes and an affine term structure model with jump risks (2010)Analytic valuation formulas f…Calibration of Lévy Term Structure Models (2007)Calibration of Lévy Term Stru…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Numerical valuation of options with jumps in the underlying (2004)Brownian Motion and Stochastic Calculus (2007)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Analysis of Fourier Transform Valuation Formulas and Applications (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Option pricing when underlying stock returns are discontinuous (1976)Hedging with Options in Models with Jumps (2007)Affine Diffusion Processes: Theory and Applications (2009)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Market Model of Interest Rate Dynamics (1997)Towards a general theory of bond markets (1997)The Lévy LIBOR model (2005)Risk-neutral compatibility with option prices (2009)Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Theory of Rational Option Pricing (1973)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Time-inhomogeneous Levy processes in interest rate and credit risk models (2005)Existence of Lévy term structure models (2007)A multiple-curve HJM model of interbank risk (2012)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)A general characterization of one factor affine term structure models (2001)Interest Rates and Information Geometry (2001)Optimal portfolio management with American capital guarantee (2004)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
  • 1998Martingale Methods in Financial Modelling149 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 2004L�vy term structure models: No-arbitrage and completeness119 cited
  • 2005Exact pricing formulae for caps and swaptions in a Lévy term structure model85 cited
  • 2003The Defaultable Lévy Term Structure: Ratings and Restructuring61 cited
  • 2003MultiFactor Valuation of Floating Range Notes46 cited
  • 1999The Valuation of Interest Rate Digital Options and Range Notes Revisited43 cited

Cited by

  • 2013Fourier-Based Valuation Methods in Mathematical Finance36 cited
  • 2010Analytic valuation formulas for range notes and an affine term structure model with jump risks

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34 cited
  • 2007Calibration of Lévy Term Structure Models32 cited