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A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Authors: Trolle, Anders B.; Schwartz, Eduardo S.

Source: Review of Financial Studies, Volume 22, Number 5, 3 May 2009 , pp. 2007-2057(51)

Publisher: Oxford University Press

Swaptions Deconstructed

Author: McIndoe, David T.

Source: Journal of Taxation of Investments, Volume 26, Number 3, Spring 2009 , pp. 60-66(7)

Publisher: Civic Research Institute

Regression methods in pricing American and Bermudan options using consumption processes

Authors: Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir

Source: Quantitative Finance, Volume 9, Number 3, April 2009 , pp. 315-327(13)

Publisher: Routledge, part of the Taylor & Francis Group

The Lévy Swap Market Model

Authors: Eberlein, E.; Liinev, J.

Source: Applied Mathematical Finance, Volume 14, Number 2, May 2007 , pp. 171-196(26)

Publisher: Routledge, part of the Taylor & Francis Group

THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS

Authors: Boyarchenko, Nina; Levendorskiiˇ, Sergei

Source: Mathematical Finance, Volume 17, Number 4, October 2007 , pp. 503-539(37)

Publisher: Blackwell Publishing

Stochastic Volatilities and Correlations of Bond Yields

Author: HAN, BING

Source: The Journal of Finance, Volume 62, Number 3, June 2007 , pp. 1491-1524(34)

Publisher: Blackwell Publishing

THEORY AND CALIBRATION OF SWAP MARKET MODELS

Authors: Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O.

Source: Mathematical Finance, Volume 17, Number 1, January 2007 , pp. 111-141(31)

Publisher: Blackwell Publishing

LIVING WITH MORTALITY: LONGEVITY BONDS AND OTHER MORTALITY-LINKED SECURITIES

Authors: Blake, D.; Cairns, A. J. G.; Dowd, K.

Source: British Actuarial Journal, Volume 12, Number 1, 2006 , pp. 153-197(45)

Publisher: Faculty of Actuaries and Institute of Actuaries

A mixed PDE-Monte Carlo approach for pricing credit default index swaptions

Authors: Bally, Vlad; Caramellino, Lucia; Zanette, Antonino

Source: Decisions in Economics and Finance, Volume 29, Number 2, November 2006 , pp. 121-137(17)

Publisher: Springer

Generic market models

Authors: Pietersz, Raoul; Regenmortel, Marcel

Source: Finance and Stochastics, Volume 10, Number 4, December 2006 , pp. 507-528(22)

Publisher: Springer

PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

Authors: Schrager, DavidF.; Pelsser, AntoonA. J.

Source: Mathematical Finance, Volume 16, Number 4, October 2005 , pp. 673-694(22)

Publisher: Blackwell Publishing

A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model

Author: Henrard, Marc

Source: Applied Mathematical Finance, Volume 13, Number 1, March 2006 , pp. 1-18(18)

Publisher: Routledge, part of the Taylor & Francis Group

Valuation of credit default swaps and swaptions

Author: Jamshidian, Farshid

Source: Finance and Stochastics, Volume 8, Number 3, August 2004 , pp. 343-371(29)

Publisher: Springer

25. LIBOR and Swap Market Models

Author: Björk, Tomas

Source: Arbitrage Theory in Continuous Time, March 2004 , pp. 368-389(22)

Publisher: Oxford Scholarship Online Monographs

Pricing European commodity swaptions

Authors: Sami Järvinen; Harri Toivonen

Source: Applied Economics Letters, Volume 11, Number 15, December 15, 2004 , pp. 925-929(5)

Publisher: Routledge, part of the Taylor & Francis Group

On the pricing and hedging of volatility derivatives

Authors: Sam Howison; Avraam Rafailidis; Henrik Rasmussen

Source: Applied Mathematical Finance, Volume 11, Number 4, December 2004 , pp. 317-346(30)

Publisher: Routledge, part of the Taylor & Francis Group

On the Information in the Interest Rate Term Structure and Option Prices

Authors: de Jong F.; Driessen J.; Pelsser A.

Source: Review of Derivatives Research, Volume 7, Number 2, August 2004 , pp. 99-127(29)

Publisher: Springer

Pricing and hedging guaranteed annuity options via static option replication

Author: Pelsser A.

Source: Insurance: Mathematics and Economics, Volume 33, Number 2, 20 October 2003 , pp. 283-296(14)

Publisher: Elsevier

Interest rate model calibration using semidefinite Programming

Author: A. D'Aspremont

Source: Applied Mathematical Finance, Volume 10, Number 3, September 2003 , pp. 183-213(31)

Publisher: Routledge, part of the Taylor & Francis Group

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Authors: Fan R.; Gupta A.; Ritchken P.

Source: The Journal of Finance, Volume 58, Number 5, October 2003 , pp. 2219-2248(30)

Publisher: Blackwell Publishing