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Generic market models

Listed author(s):
  • Raoul Pietersz

    ()

  • Marcel Regenmortel

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s00780-006-0023-3
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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 10 (2006)
Issue (Month): 4 (December)
Pages: 507-528

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Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:507-528
DOI: 10.1007/s00780-006-0023-3
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2

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  1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
  2. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA.
  3. Alan Brace & Dariusz G¸atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 127-155.
  4. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
  5. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA.
  6. Mark Joshi & Jochen Theis, 2002. "Bounding Bermudan swaptions in a swap-rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 370-377.
  7. S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering.
  8. Rubinstein, Mark, 1983. " Displaced Diffusion Option Pricing," Journal of Finance, American Finance Association, vol. 38(1), pages 213-217, March.
  9. Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Marek Rutkowski & Marek Musiela, 1997. "Continuous-time term structure models: Forward measure approach (*)," Finance and Stochastics, Springer, vol. 1(4), pages 261-291.
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