-
1
-
-
0033410115
-
A parametric non-linear model of term structure dynamics
-
Ahn D-H, Gao B (1999) 'A parametric non-linear model of term structure dynamics', Review of Financial Studies, 12 (4), 721-62
-
(1999)
Review of Financial Studies
, vol.12
, Issue.4
, pp. 721-762
-
-
Ahn, D.-H.1
Gao, B.2
-
2
-
-
33645466357
-
Principal component analysis of volatility smiles and skews
-
Working Paper, ISMA Centre, University of Reading
-
Alexander C (2000) 'Principal component analysis of volatility smiles and skews', Working Paper, ISMA Centre, University of Reading
-
(2000)
-
-
Alexander, C.1
-
3
-
-
0041829879
-
A simple approach to the pricing of Bermudan swaptions in the multi-factor LIBOR market model
-
Andersen L (1999) 'A simple approach to the pricing of Bermudan swaptions in the multi-factor LIBOR market model' Journal of Computational Finance, 3 (2), 5-32.
-
(1999)
Journal of Computational Finance
, vol.3
, Issue.2
, pp. 5-32
-
-
Andersen, L.1
-
4
-
-
84890754919
-
Volatility skews and extension of the LIBOR market model
-
also Working Paper, Gen Re Financial Products
-
Andersen L, Andreasen J (1997) 'Volatility skews and extension of the LIBOR market model', Applied Mathematical Finance, to appear; also Working Paper, Gen Re Financial Products
-
(1997)
Applied Mathematical Finance, to appear
-
-
Andersen, L.1
Andreasen, J.2
-
5
-
-
0010685049
-
Volatility Skews and Extension of the LIBOR Market Model
-
1, March
-
Andersen L, Andreasen J (2000) 'Volatility Skews and Extension of the LIBOR Market Model; Applied Mathematical Finance 7, 1, March 2000
-
(2000)
Applied Mathematical Finance
, vol.7
-
-
Andersen, L.1
Andreasen, J.2
-
6
-
-
0040464949
-
Pricing by arbitrage in incomplete markets
-
Working Paper, Financial Options Research Centre, University of Warwick, FORC Preprint 96/69, January
-
Babbs S H, Selby M J P (1996) 'Pricing by arbitrage in incomplete markets', Working Paper, Financial Options Research Centre, University of Warwick, FORC Preprint 96/69, January
-
(1996)
-
-
Babbs, S.H.1
Selby, M.J.P.2
-
7
-
-
84890707069
-
Pricing of Contingent Claims in Incomplete Markets
-
working paper, Merrill Lynch and King's College London
-
Ballard P, Hughston L (1999) 'Pricing of Contingent Claims in Incomplete Markets', working paper, Merrill Lynch and King's College London
-
(1999)
-
-
Ballard, P.1
Hughston, L.2
-
8
-
-
0003748137
-
Financial Calculus
-
Cambridge University Press, Cambridge
-
Baxter M, Rennie A (1996) Financial Calculus, Cambridge University Press, Cambridge
-
(1996)
-
-
Baxter, M.1
Rennie, A.2
-
9
-
-
84977310971
-
The constant elasticity of variance model and its implications for option pricing
-
June
-
Beckers S (1980) 'The constant elasticity of variance model and its implications for option pricing Journal of Finance, 35(3),(June) 661-673
-
(1980)
Journal of Finance
, vol.35
, Issue.3
, pp. 661-673
-
-
Beckers, S.1
-
10
-
-
84920570018
-
Arbitrage Theory in Continuous Time
-
Oxford University Press, Oxford
-
Bjork T (1998) Arbitrage Theory in Continuous Time, Oxford University Press, Oxford
-
(1998)
-
-
Bjork, T.1
-
11
-
-
34248483578
-
The pricing of commodity contracts
-
Black F (1976) 'The pricing of commodity contracts', Journal of Financial Economics, 3, 167-79
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 167-179
-
-
Black, F.1
-
12
-
-
0001877032
-
Bond and option pricing when short rates are lognormal
-
July-August
-
Black F, Karasinski P (1991) 'Bond and option pricing when short rates are lognormal', Financial Analyst Journal, 47, (July-August) 52-59
-
(1991)
Financial Analyst Journal
, vol.47
, pp. 52-59
-
-
Black, F.1
Karasinski, P.2
-
13
-
-
85015692260
-
The pricing of options on corporate liabilities
-
Black F, Scholes M (1973) 'The pricing of options on corporate liabilities', Journal of Political Economy, 81, 637-59
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-659
-
-
Black, F.1
Scholes, M.2
-
14
-
-
0001908429
-
A one-factor model of interest rates and its application to Treasury bond options
-
Black F, Derman E, Toy W (1990) 'A one-factor model of interest rates and its application to Treasury bond options', Financial Analyst Journal, 46, 33-39
-
(1990)
Financial Analyst Journal
, vol.46
, pp. 33-39
-
-
Black, F.1
Derman, E.2
Toy, W.3
-
15
-
-
34848900983
-
ARCH Modelling in Finance: a Review of the Theory and Empirical Evidence
-
Bollerslev T, Chou R, Kroner K (1992) 'ARCH Modelling in Finance: a Review of the Theory and Empirical Evidence'Journal of Econometrics, 52, 5-59
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.2
Kroner, K.3
-
16
-
-
70350121603
-
ARCH Models
-
R. Engle and D Macfadden (editors), IV, Elsevier, Amsterdam
-
Bollerslev T, Engle R, Nelson D (1994)'ARCH Models' in R. Engle and D Macfadden (editors) 'Handbook of Econometrics', IV, Elsevier, Amsterdam.
-
(1994)
Handbook of Econometrics
-
-
Bollerslev, T.1
Engle, R.2
Nelson, D.3
-
18
-
-
0031489544
-
The market model of interest rate dynamics
-
Brace A, Gatarek D, Musiela M (1996) 'The market model of interest rate dynamics', Mathematical Finance, 7, 127-54
-
(1996)
Mathematical Finance
, vol.7
, pp. 127-154
-
-
Brace, A.1
Gatarek, D.2
Musiela, M.3
-
19
-
-
0345953093
-
A simple approach to option valuation in the Black-Scholes model
-
Brenner M, Subrahmanyam M G (1994) 'A simple approach to option valuation in the Black-Scholes model', Financial Analyst Journal, 25-8
-
(1994)
Financial Analyst Journal
, pp. 25-28
-
-
Brenner, M.1
Subrahmanyam, M.G.2
-
20
-
-
0347214407
-
Interest Rate Models: Theory and Practice
-
Springer Verlag, Heidelberg
-
Brigo D, Mercurio F, (2001) 'Interest Rate Models: Theory and Practice', Springer Verlag, Heidelberg
-
(2001)
-
-
Brigo, D.1
Mercurio, F.2
-
21
-
-
84862453164
-
Option prices, implied price processes and stochastic volatility
-
Working Paper, London Business School
-
Britten-Jones M, Neuberger A (1998) 'Option prices, implied price processes and stochastic volatility', Working Paper, London Business School, available at www.london.edu/ifa
-
(1998)
-
-
Britten-Jones, M.1
Neuberger, A.2
-
22
-
-
84924908157
-
New Methods for Pricing American and Bermudan Options: the Fast Gauss Transform Lattice Methods and the Prima-Dual Simulation Method
-
Broadie presented at the Global Derivatives Conference - Barcelona, May 2002
-
Broadie (2002), New Methods for Pricing American and Bermudan Options: the Fast Gauss Transform Lattice Methods and the Prima-Dual Simulation Method' presented at the Global Derivatives Conference - Barcelona, May 2002
-
(2002)
-
-
-
23
-
-
0003460978
-
A stochastic mesh method for pricing highdimension American options
-
Working Paper, Columbia University, New York
-
Broadie M, Glasserman P (1997) 'A stochastic mesh method for pricing highdimension American options', Working Paper, Columbia University, New York
-
(1997)
-
-
Broadie, M.1
Glasserman, P.2
-
24
-
-
84890656542
-
The Econometrics of Financial Markets
-
Princeton University Press, Princeton NJ
-
Campbell J Y, Lo A W, MacKinlay A C (1996) The Econometrics of Financial Markets, Princeton University Press, Princeton NJ.
-
(1996)
-
-
Campbell, J.Y.1
Lo, A.W.2
MacKinlay, A.C.3
-
25
-
-
84890779527
-
A simplified exposition of the Heath, Jarrow and Morton model
-
Working Paper, Hong Kong University of Science and Technology January
-
Carverhill A (1993) 'A simplified exposition of the Heath, Jarrow and Morton model', Working Paper, Hong Kong University of Science and Technology January
-
(1993)
-
-
Carverhill, A.1
-
26
-
-
84977707412
-
An empirical comparison of alternative models of the short-term interest rate
-
May
-
Chan K C, Karolyi G A, Longstaff F A, Sanders A B (1992) 'An empirical comparison of alternative models of the short-term interest rate', Journal of Finance, 68 (May), 1209-1227
-
(1992)
Journal of Finance
, vol.68
, pp. 1209-1227
-
-
Chan, K.C.1
Karolyi, G.A.2
Longstaff, F.A.3
Sanders, A.B.4
-
27
-
-
0003515753
-
Introduction to Multivariate Analysis
-
Chapman and Hall, London
-
Chatfiled C, Collins A J (1989) Introduction to Multivariate Analysis, Chapman and Hall, London
-
(1989)
-
-
Chatfiled, C.1
Collins, A.J.2
-
28
-
-
0004291281
-
Asset Pricing
-
Princeton University Press, Princeton, NJ
-
Cochrane J H (2001) Asset Pricing, Princeton University Press, Princeton, NJ
-
(2001)
-
-
Cochrane, J.H.1
-
29
-
-
49249142814
-
Option pricing: a simplified approach
-
Cox J, Ross S A, Rubinstein M (1979) 'Option pricing: a simplified approach', Journal of Financial Economics, 7, 229-63
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 229-263
-
-
Cox, J.1
Ross, S.A.2
Rubinstein, M.3
-
30
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox J, Ingersoll J E, Ross S A (1985) 'A theory of the term structure of interest rates', Econometrica, 53, 385-407
-
(1985)
Econometrica
, vol.53
, pp. 385-407
-
-
Cox, J.1
Ingersoll, J.E.2
Ross, S.A.3
-
31
-
-
33645468516
-
LIBOR and swap market models for the pricing of interest-rate derivatives: an empirical comparison
-
Working Paper
-
De Jong F, Driessen L, Pelsser A (1999) 'LIBOR and swap market models for the pricing of interest-rate derivatives: an empirical comparison', Working Paper
-
(1999)
-
-
De Jong, F.1
Driessen, L.2
Pelsser, A.3
-
32
-
-
2442638674
-
The patterns of change in implied index volatilities
-
Quantitative Strategies Research Notes, Goldman Sachs
-
Derman E, Kamal M (1997) 'The patterns of change in implied index volatilities', Quantitative Strategies Research Notes, Goldman Sachs
-
(1997)
-
-
Derman, E.1
Kamal, M.2
-
33
-
-
0002515210
-
Riding on a smile
-
Derman E, Kani I (1994) 'Riding on a smile', Risk Magazine, 7 (2), 98-101
-
(1994)
Risk Magazine
, vol.7
, Issue.2
, pp. 98-101
-
-
Derman, E.1
Kani, I.2
-
34
-
-
0013285814
-
Implied binomial trees of the volatility smile
-
Derman E, Kani I, Chriss N (1996) 'Implied binomial trees of the volatility smile', Journal of Derivatives, 3 (4), 7-22
-
(1996)
Journal of Derivatives
, vol.3
, Issue.4
, pp. 7-22
-
-
Derman, E.1
Kani, I.2
Chriss, N.3
-
35
-
-
84890712102
-
-
personal communication
-
Dodds S (1998) personal communication
-
(1998)
-
-
Dodds, S.1
-
36
-
-
84890648177
-
Pricing and Hedging Bermudon Swaptions with the BGM Model
-
Barclays Capital working paper, presented at the Global Derivitives Conference in Barcelona, May 2002
-
Dodds S (2002) 'Pricing and Hedging Bermudon Swaptions with the BGM Model', Barclays Capital working paper, presented at the Global Derivitives Conference in Barcelona, May 2002
-
(2002)
-
-
Dodds, S.1
-
37
-
-
0004132259
-
Prices in Financial Markets
-
Oxford University Press, Oxford
-
Dothan M N (1990) Prices in Financial Markets, Oxford University Press, Oxford
-
(1990)
-
-
Dothan, M.N.1
-
38
-
-
33645464154
-
Relative pricing techniques in the swaps and options markets
-
March
-
Doust P (1995) 'Relative pricing techniques in the swaps and options markets'', Journal of Financial Engineering, (March), 45-71
-
(1995)
Journal of Financial Engineering
, pp. 45-71
-
-
Doust, P.1
-
39
-
-
0004018246
-
Dynamic Asset Pricing Theory
-
2nd edn, Princeton University Press, Princeton, NJ
-
Duffie D (1996) Dynamic Asset Pricing Theory, 2nd edn, Princeton University Press, Princeton, NJ
-
(1996)
-
-
Duffie, D.1
-
40
-
-
0030305091
-
A yield-factor model of interest rates
-
Duffie D, Kan R (1996) 'A yield-factor model of interest rates', Mathematical Finance, 6, 379-406
-
(1996)
Mathematical Finance
, vol.6
, pp. 379-406
-
-
Duffie, D.1
Kan, R.2
-
41
-
-
0002004145
-
Pricing with a smile
-
Dupire B (1994) 'Pricing with a smile', Risk Magazine, 7, 18-20
-
(1994)
Risk Magazine
, vol.7
, pp. 18-20
-
-
Dupire, B.1
-
42
-
-
0001840812
-
Regularization methods for the stable solution of inverse problems
-
Engl H E (1993) 'Regularization methods for the stable solution of inverse problems', Surveys on Mathematics for Industry, 3, 71-143
-
(1993)
Surveys on Mathematics for Industry
, vol.3
, pp. 71-143
-
-
Engl, H.E.1
-
43
-
-
0038466761
-
Fitting the term structure of interest rates with smooth splines
-
Working Paper, US Federal Reserve Board, January
-
Fisher M, Nyehka D, Zevros D (1994) 'Fitting the term structure of interest rates with smooth splines', Working Paper, US Federal Reserve Board, January
-
(1994)
-
-
Fisher, M.1
Nyehka, D.2
Zevros, D.3
-
44
-
-
84890588857
-
LIBOR market model with stochastic volatility
-
presented at the Maths Week Risk Conference, London, 28 November; also Working Paper, BRE Bank and Systems Research Institute
-
Gatarek D (2001) 'LIBOR market model with stochastic volatility', presented at the Maths Week Risk Conference, London, 28 November; also Working Paper, BRE Bank and Systems Research Institute
-
(2001)
-
-
Gatarek, D.1
-
45
-
-
0010732923
-
The Term Structure of Simple Forward Rates with Jump Risk
-
working paper, Colombia University
-
Glasserman P, Kou S G (2001) 'The Term Structure of Simple Forward Rates with Jump Risk', working paper, Colombia University
-
(2001)
-
-
Glasserman, P.1
Kou, S.G.2
-
46
-
-
0010732923
-
The term structure of simple forward rates with jump risk
-
Working Paper, Columbia University
-
Glasserman P, Kou S G (2000) 'The term structure of simple forward rates with jump risk', Working Paper, Columbia University
-
(2000)
-
-
Glasserman, P.1
Kou, S.G.2
-
47
-
-
1542772381
-
Numerical solutions of jump-diffusion LIBOR market models
-
Working Paper, Columbia University
-
Glasserman P, Merener N (2001) 'Numerical solutions of jump-diffusion LIBOR market models', Working Paper, Columbia University
-
(2001)
-
-
Glasserman, P.1
Merener, N.2
-
48
-
-
33645469647
-
On the pricing of European swaptions
-
Working Paper, Department of Economics, University of Uppsala, Sweden, March
-
Gustavsson T (1997) 'On the pricing of European swaptions', Working Paper, Department of Economics, University of Uppsala, Sweden, March.
-
(1997)
-
-
Gustavsson, T.1
-
49
-
-
38649141305
-
Martingales and arbitrage in multi-period securities markets
-
Harrison J M, Kreps D (1979) 'Martingales and arbitrage in multi-period securities markets', Journal of Economic Theory, 20, 381-408
-
(1979)
Journal of Economic Theory
, vol.20
, pp. 381-408
-
-
Harrison, J.M.1
Kreps, D.2
-
50
-
-
41649091143
-
Martingales and stochastic integrals in the theory of continuous trading
-
Harrison J M, Pliska S (1981) 'Martingales and stochastic integrals in the theory of continuous trading', Stochastic Processes and their Applications, 11, 215-60
-
(1981)
Stochastic Processes and their Applications
, vol.11
, pp. 215-260
-
-
Harrison, J.M.1
Pliska, S.2
-
51
-
-
0003422652
-
Pricing American options: a duality approach
-
Working Paper, MIT and the Wharton School
-
Haug M B, Kogan L (2000) 'Pricing American options: a duality approach', Working Paper, MIT and the Wharton School
-
(2000)
-
-
Haug, M.B.1
Kogan, L.2
-
52
-
-
33645462742
-
Bond pricing and the term structure of interest rates: a new methodology
-
Working Paper, Cornell University
-
Heath D, Jarrow R A, Morton A (1987) 'Bond pricing and the term structure of interest rates: a new methodology', Working Paper, Cornell University
-
(1987)
-
-
Heath, D.1
Jarrow, R.A.2
Morton, A.3
-
53
-
-
33645462742
-
Bond pricing and the term structure of interest rates: a new methodology
-
Working Paper (revised edition), Cornell University
-
Heath D, Jarrow R A, Morton A (1989) 'Bond pricing and the term structure of interest rates: a new methodology', Working Paper (revised edition), Cornell University
-
(1989)
-
-
Heath, D.1
Jarrow, R.A.2
Morton, A.3
-
54
-
-
0003890315
-
Options, Futures and Other Derivative Securities
-
2nd edn, Prentice- Hall, Englewood Cliffs, NJ
-
Hull J (1993) Options, Futures and Other Derivative Securities, 2nd edn, Prentice- Hall, Englewood Cliffs, NJ
-
(1993)
-
-
Hull, J.1
-
55
-
-
84977709229
-
The pricing of options on assets with stochastic volatilities
-
Hull J, White A (1987) 'The pricing of options on assets with stochastic volatilities', Journal of Finance, XLII (2), 281-300
-
(1987)
Journal of Finance
, vol.XLII
, Issue.2
, pp. 281-300
-
-
Hull, J.1
White, A.2
-
57
-
-
0040175847
-
Bond option pricing based on a model for the evolution of bond prices
-
Hull J, White A (1993) 'Bond option pricing based on a model for the evolution of bond prices', Advances in Futures and Option Research, 6, 1-13
-
(1993)
Advances in Futures and Option Research
, vol.6
, pp. 1-13
-
-
Hull, J.1
White, A.2
-
59
-
-
0011935435
-
Markov-Functional Interest Rate Models
-
Hunt P, Kennedy J, Pelsser A (2000)'Markov-Functional Interest Rate Models', Finance and Stochastics, 4(4), 391-408
-
(2000)
Finance and Stochastics
, vol.4
, Issue.4
, pp. 391-408
-
-
Hunt, P.1
Kennedy, J.2
Pelsser, A.3
-
60
-
-
0345953095
-
Getting the Drift
-
July, also QUARC (Quantitative Research Centre) Working Paper, 'Drift approximations in a LIBOR market model'
-
Hunter C, Jaeckel P and Joshi M (2001) 'Getting the Drift', Risk Magazine, (July) 81-84 also QUARC (Quantitative Research Centre) Working Paper, 'Drift approximations in a LIBOR market model', available at www.rebonato.com
-
(2001)
Risk Magazine
, pp. 81-84
-
-
Hunter, C.1
Jaeckel, P.2
Joshi, M.3
-
61
-
-
84890696113
-
A simple method to evaluate Bermudan swaptions in the LIBOR market model framework
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Jaeckel P (2000) 'A simple method to evaluate Bermudan swaptions in the LIBOR market model framework', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2000)
-
-
Jaeckel, P.1
-
62
-
-
76649111341
-
Valuing American options in the presence of user-defined smiles
-
Jaeckel P, Rebonato R (2001a) 'Valuing American options in the presence of user-defined smiles', Journal of Risk, 4 (1), 35-62
-
(2001)
Journal of Risk
, vol.4
, Issue.1
, pp. 35-62
-
-
Jaeckel, P.1
Rebonato, R.2
-
63
-
-
24244435009
-
Linking caplet and swaption volatilities in a LIBOR market model setting
-
accepted for publication; also Working Paper, Royal Bank of Scodand Quantitative Research Centre (QUARC)
-
Jaeckel P, Rebonato R (2001b) 'Linking caplet and swaption volatilities in a LIBOR market model setting Journal of Computational Finance, accepted for publication; also Working Paper, Royal Bank of Scodand Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2001)
Journal of Computational Finance
-
-
Jaeckel, P.1
Rebonato, R.2
-
64
-
-
0040607877
-
Forward induction and construction of yield curve diffusion models
-
Working Paper, Financial Strategies Group, Merryll Lynch Capital Markets, New York
-
Jamshidian F (1991) 'Forward induction and construction of yield curve diffusion models', Working Paper, Financial Strategies Group, Merryll Lynch Capital Markets, New York.
-
(1991)
-
-
Jamshidian, F.1
-
65
-
-
0000930148
-
LIBOR and swap market models and measures
-
Jamshidian F (1997) 'LIBOR and swap market models and measures', Finance and Stochastic, 1 (4), 293-330
-
(1997)
Finance and Stochastic
, vol.1
, Issue.4
, pp. 293-330
-
-
Jamshidian, F.1
-
66
-
-
33645467311
-
LIBOR market model with semimartingales
-
Working Paper, NetAnalytic Ltd, London
-
Jamshidian F (1999) 'LIBOR market model with semimartingales', Working Paper, NetAnalytic Ltd, London
-
(1999)
-
-
Jamshidian, F.1
-
67
-
-
84888970258
-
Volatility, momentum and time-varying skewness in foreign exchange returns
-
Working Paper, London Business School
-
Johnson T C (2001) 'Volatility, momentum and time-varying skewness in foreign exchange returns', Working Paper, London Business School, available at www.london.edu/ifa
-
(2001)
-
-
Johnson, T.C.1
-
68
-
-
34249024067
-
A short note on exponential correlation functions
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), June
-
Joshi M (2000) 'A short note on exponential correlation functions', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), June
-
(2000)
-
-
Joshi, M.1
-
69
-
-
84890762073
-
The calibration of a stochastic volatility model to caplet prices
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Joshi M (2001a) 'The calibration of a stochastic volatility model to caplet prices', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2001)
-
-
Joshi, M.1
-
70
-
-
84890704060
-
Fast pricing of swaptions in a stochastic volatility market model
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Joshi M (2001b) 'Fast pricing of swaptions in a stochastic volatility market model', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2001)
-
-
Joshi, M.1
-
71
-
-
84890757253
-
Calibration to co-terminal swaptions in a stochastic volatility market model
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Joshi M (2001c) 'Calibration to co-terminal swaptions in a stochastic volatility market model', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2001)
-
-
Joshi, M.1
-
72
-
-
84890668098
-
The concepts of mathematical finance
-
preparation
-
Joshi M (2001f) 'The concepts of mathematical finance', in preparation
-
(2001)
-
-
Joshi, M.1
-
73
-
-
84890755815
-
A stochastic-volatility, displaced-diffusion extension of the LIBOR market model
-
submitted; also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Joshi M, Rebonato R (2001) 'A stochastic-volatility, displaced-diffusion extension of the LIBOR market model', Journal of Computational Finance, submitted; also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2001)
Journal of Computational Finance
-
-
Joshi, M.1
Rebonato, R.2
-
74
-
-
84890661244
-
Similarities between the prices of Bermudan swaptions obtained with the BDT and a particular implementation of the LIBOR Market Model
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Kainth D, Rebonato R, Joshi M (2001) 'Similarities between the prices of Bermudan swaptions obtained with the BDT and a particular implementation of the LIBOR Market Model', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
(2001)
-
-
Kainth, D.1
Rebonato, R.2
Joshi, M.3
-
75
-
-
0004171561
-
Brownian Motion and Stochastic Calculus
-
Springer- Verlag, Berlin
-
Karatzas I, Shreve S (1988) Brownian Motion and Stochastic Calculus, Springer- Verlag, Berlin
-
(1988)
-
-
Karatzas, I.1
Shreve, S.2
-
76
-
-
0003568337
-
Numerical Solutions of Stochastic Differential Equations
-
Springer-Verlag, Berlin
-
Kloeden P E, Platen E (1992) Numerical Solutions of Stochastic Differential Equations, Springer-Verlag, Berlin
-
(1992)
-
-
Kloeden, P.E.1
Platen, E.2
-
77
-
-
84890702837
-
What hides behind the smile
-
Working Paper, J P Morgan Derivatives Research, March
-
Levin R, Singh K (1995) 'What hides behind the smile?', Working Paper, J P Morgan Derivatives Research, March
-
(1995)
-
-
Levin, R.1
Singh, K.2
-
78
-
-
0038458950
-
Option Valuation under Stochastic Volatility
-
Finance Press, Newport Beach, California
-
Lewis A L, (2000), 'Option Valuation under Stochastic Volatility', Finance Press, Newport Beach, California
-
(2000)
-
-
Lewis, A.L.1
-
79
-
-
84977723797
-
Interest rate volatility and the term structure: a two-factor general equilibrium model
-
Longstaff F A, Schwartz E S (1992) 'Interest rate volatility and the term structure: a two-factor general equilibrium model', Journal of Finance, 47, 1259-82.
-
(1992)
Journal of Finance
, vol.47
, pp. 1259-1282
-
-
Longstaff, F.A.1
Schwartz, E.S.2
-
80
-
-
0003485741
-
Valuing American options by simulations: a least square approach
-
Working Paper, Andersen School at the UCLA
-
Longstaff F A, Schwartz E S (1998) 'Valuing American options by simulations: a least square approach', Working Paper 25-98, Andersen School at the UCLA
-
(1998)
, pp. 25-98
-
-
Longstaff, F.A.1
Schwartz, E.S.2
-
81
-
-
0007976925
-
Throwing away a billion dollars: the cost of sub-optimal exercise strategies in the swaptions markets
-
presented at the ICBI Risk Conference, Geneva; also Working Paper, UCLA
-
Longstaff F A, Santa-Clara P, Schwartz E S (2000a) 'Throwing away a billion dollars: the cost of sub-optimal exercise strategies in the swaptions markets', presented at the ICBI Risk Conference, Geneva; also Working Paper, UCLA
-
(2000)
-
-
Longstaff, F.A.1
Santa-Clara, P.2
Schwartz, E.S.3
-
82
-
-
0039203133
-
The relative valuation of caps and swaptions: theory and empirical evidence
-
presented at the ICBI Risk Conference, Geneva; also Working Paper, UCLA
-
Longstaff F A, Santa-Clara P, Schwartz E S (2000b) 'The relative valuation of caps and swaptions: theory and empirical evidence', presented at the ICBI Risk Conference, Geneva; also Working Paper, UCLA
-
(2000)
-
-
Longstaff, F.A.1
Santa-Clara, P.2
Schwartz, E.S.3
-
83
-
-
0002895230
-
The variance gamma process and option pricing
-
Working Paper, University of Maryland
-
Madan D B, Carr P, Chang E C (1998) 'The variance gamma process and option pricing', Working Paper, University of Maryland
-
(1998)
-
-
Madan, D.B.1
Carr, P.2
Chang, E.C.3
-
84
-
-
0142013588
-
Financial option pricing and skewed volatility
-
M.Phil. Thesis, Statistical Laboratory, University of Cambridge
-
Marris D (1999) 'Financial option pricing and skewed volatility', M.Phil. Thesis, Statistical Laboratory, University of Cambridge
-
(1999)
-
-
Marris, D.1
-
85
-
-
0001238065
-
Stochastic processes for interest rates and equilibrium bond prices
-
Marsh T A, Rosenfeld E R (1983) 'Stochastic processes for interest rates and equilibrium bond pricesJournal of Finance, 38, 635-46
-
(1983)
Journal of Finance
, vol.38
, pp. 635-646
-
-
Marsh, T.A.1
Rosenfeld, E.R.2
-
86
-
-
0345769210
-
Fixed-Income Securities
-
John Wiley's, Chichester
-
Martellini L, Priaulet P (2001) 'Fixed-Income Securities'John Wiley's, Chichester
-
(2001)
-
-
Martellini, L.1
Priaulet, P.2
-
88
-
-
0141944463
-
Stochastic Calculus with Finance in View
-
Advanced Series on Statistical Science and Applied Probability, World Scientific, Singapore
-
Mikosh T (1998) Stochastic Calculus with Finance in View, Advanced Series on Statistical Science and Applied Probability, Vol. 6, World Scientific, Singapore
-
(1998)
, vol.6
-
-
Mikosh, T.1
-
89
-
-
0040360988
-
Closed-form solutions for term structure derivatives with log-normal interest rates
-
Miltersen K, Sandmann K, Sondermann D (1997) 'Closed-form solutions for term structure derivatives with log-normal interest rates', Journal of Finance, 52, 409-30
-
(1997)
Journal of Finance
, vol.52
, pp. 409-430
-
-
Miltersen, K.1
Sandmann, K.2
Sondermann, D.3
-
90
-
-
0002194361
-
Continuous-time term structure models: forward-measure approach
-
Musiela M, Rutkowski M (1997a) 'Continuous-time term structure models: forward-measure approach', Finance and Stochastic, 1 (4), 261-92
-
(1997)
Finance and Stochastic
, vol.1
, Issue.4
, pp. 261-292
-
-
Musiela, M.1
Rutkowski, M.2
-
91
-
-
0003506072
-
Martingale Methods in Financial Modelling
-
Springer-Verlag, Berlin
-
Musiela M, Rutkowski M (1997b) Martingale Methods in Financial Modelling, Springer-Verlag, Berlin
-
(1997)
-
-
Musiela, M.1
Rutkowski, M.2
-
92
-
-
0003754670
-
An Introduction to the Mathematics of Financial Derivatives
-
Academic Press, San Diego
-
Neftci S A (1996) An Introduction to the Mathematics of Financial Derivatives, Academic Press, San Diego
-
(1996)
-
-
Neftci, S.A.1
-
93
-
-
0000641348
-
Conditional Heteroskedsticity in Asset Returns: a New Approach
-
Nelson D (1990) 'Conditional Heteroskedsticity in Asset Returns: a New Approach', Econometrica, 59, 347-370
-
(1990)
Econometrica
, vol.59
, pp. 347-370
-
-
Nelson, D.1
-
94
-
-
12144255321
-
Pricing swap options using the forward swap market
-
IFA Working Paper, London Business School
-
Neuberger A (1990) 'Pricing swap options using the forward swap market', IFA Working Paper, London Business School
-
(1990)
-
-
Neuberger, A.1
-
95
-
-
0003292529
-
Pricing and Hedging of Derivatives Securities
-
Oxford University Press, Oxford
-
Nielsen L T (1999) Pricing and Hedging of Derivatives Securities, Oxford University Press, Oxford
-
(1999)
-
-
Nielsen, L.T.1
-
96
-
-
0003722979
-
Stochastic Differential Equations
-
5th edn, Springer-Verlag, Berlin
-
Oksendal B (1995) Stochastic Differential Equations, 5th edn, Springer-Verlag, Berlin
-
(1995)
-
-
Oksendal, B.1
-
97
-
-
0003810352
-
Introduction to Mathematical Finance
-
Blackwell, Oxford
-
Pliska S R (1997) Introduction to Mathematical Finance, Blackwell, Oxford
-
(1997)
-
-
Pliska, S.R.1
-
98
-
-
0003474751
-
Numerical Recipes in C
-
2nd edn (reprinted with corrections 1998), Cambridge University Press, Cambridge
-
Press W H, Teukolsky S A, Vetterling W T, Flannery B P (1996) Numerical Recipes in C, 2nd edn (reprinted with corrections 1998), Cambridge University Press, Cambridge
-
(1996)
-
-
Press, W.H.1
Teukolsky, S.A.2
Vetterling, W.T.3
Flannery, B.P.4
-
99
-
-
0003737954
-
Interest-Rate Option Models
-
2nd edn, John Wiley, Chichester
-
Rebonato R (1998) Interest-Rate Option Models, 2nd edn, John Wiley, Chichester
-
(1998)
-
-
Rebonato, R.1
-
100
-
-
0040835393
-
On the simultaneous calibration of multi-factor lognormal interest-rate models to Black volatilities and to the correlation matrix
-
also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at
-
Rebonato R (1999a) 'On the simultaneous calibration of multi-factor lognormal interest-rate models to Black volatilities and to the correlation matrix', Journal of Computational Finance, 2 (4), 5-27; also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(1999)
Journal of Computational Finance
, vol.2
, Issue.4
, pp. 5-27
-
-
Rebonato, R.1
-
101
-
-
33645471348
-
On the pricing implications of the joint log-normality assumption for the cap and swaption markets
-
also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Rebonato R (1999b) 'On the pricing implications of the joint log-normality assumption for the cap and swaption markets', Journal of Computational Finance, 2 (3), 30-52; also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available atwww.rebonato.com
-
(1999)
Journal of Computational Finance
, vol.2
, Issue.3
, pp. 30-52
-
-
Rebonato, R.1
-
102
-
-
0043277213
-
Volatility and Correlation
-
John Wiley, Chichester
-
Rebonato R (1999c) Volatility and Correlation, John Wiley, Chichester
-
(1999)
-
-
Rebonato, R.1
-
103
-
-
84890657534
-
Calibration to co-terminal European swaptions in a BGM setting
-
submitted; also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Rebonato R (2000) 'Calibration to co-terminal European swaptions in a BGM setting', Journal of Computational Finance, submitted; also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2000)
Journal of Computational Finance
-
-
Rebonato, R.1
-
104
-
-
84865083677
-
Managing model risk
-
FT-Prentice Hall Educational Carol Alexander editor, London
-
Rebonato R (2001a) 'Managing model risk', in Mastering Risk, Vol. II, FT-Prentice Hall Educational Carol Alexander editor, London
-
(2001)
Mastering Risk
, vol.II
-
-
Rebonato, R.1
-
105
-
-
0346086195
-
The stochastic volatility LIBOR market model
-
October
-
Rebonato R (2001b) 'The stochastic volatility LIBOR market model', Risk, (October), 105-10
-
(2001)
Risk
, pp. 105-110
-
-
Rebonato, R.1
-
107
-
-
35248812683
-
The most general methodology to create a valid correlation matrix
-
Winter
-
Rebonato R, Jaeckel P(2000) 'The most general methodology to create a valid correlation matrix', Journal of Risk, 2 (2), (Winter), 1-16
-
(2000)
Journal of Risk
, vol.2
, Issue.2
, pp. 1-16
-
-
Rebonato, R.1
Jaeckel, P.2
-
108
-
-
84890672961
-
A joint empirical/theoretical investigation of the modes of deformation of swaption matrices: implications for the stochastic-volatility LIBOR market model
-
accepted for publication also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Rebonato R, Joshi M (2001a) 'A joint empirical/theoretical investigation of the modes of deformation of swaption matrices: implications for the stochastic-volatility LIBOR market model', International Journal of Theoretical and Applied Finance, accepted for publication also Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available at www.rebonato.com
-
(2001)
International Journal of Theoretical and Applied Finance
-
-
Rebonato, R.1
Joshi, M.2
-
109
-
-
84890661352
-
The Kolmogorov Project: no-arbitrage evolution of implied volatility surfaces and applications to weak static replication
-
Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC)
-
Rebonato R, Joshi M (2001b) 'The Kolmogorov Project: no-arbitrage evolution of implied volatility surfaces and applications to weak static replication', Working Paper, Royal Bank of Scotland Quantitative Research Centre (QUARC), available atwww.rebonato.com
-
(2001)
-
-
Rebonato, R.1
Joshi, M.2
-
110
-
-
0007897312
-
Monte Carlo valuation of American options
-
Working Paper, Department of Mathematical Sciences, University of Bath
-
Rogers L C G (2000) 'Monte Carlo valuation of American options', Working Paper, Department of Mathematical Sciences, University of Bath.
-
(2000)
-
-
Rogers, L.C.G.1
-
111
-
-
0000455397
-
Displaced diffusion option pricing
-
March
-
Rubinstein M (1983) 'Displaced diffusion option pricing', Journal of Finance, 38 (March), 213-17
-
(1983)
Journal of Finance
, vol.38
, pp. 213-217
-
-
Rubinstein, M.1
-
112
-
-
33645464769
-
Models of forward LIBOR and swap rates
-
Working Paper, University of New South Wales
-
Rutkowski M (1997) 'Models of forward LIBOR and swap rates', Working Paper, University of New South Wales
-
(1997)
-
-
Rutkowski, M.1
-
114
-
-
0039412012
-
The problem with redemption yields
-
July-August
-
Schaefer S M (1977) 'The problem with redemption yields', Financial Analyst Journal, (July-August), 59-67
-
(1977)
Financial Analyst Journal
, pp. 59-67
-
-
Schaefer, S.M.1
-
115
-
-
1542562038
-
Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure
-
Working Paper, Weierstrass-Institut fur Angewandte Analysis und Stochastik, Berlin
-
Schoenmakers J, Coffey B (2000) 'Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure', Working Paper No. 611, Weierstrass-Institut fur Angewandte Analysis und Stochastik, Berlin
-
(2000)
, pp. 611
-
-
Schoenmakers, J.1
Coffey, B.2
-
116
-
-
0004159816
-
Investments
-
4th Edition, Englewood, New Jersey, Prentice Hall
-
Sharpe W, Alexander G (1990) 'Investments', 4th Edition, Englewood, New Jersey, Prentice Hall
-
(1990)
-
-
Sharpe, W.1
Alexander, G.2
-
117
-
-
33645464831
-
Crisis and risk
-
May
-
Scholes M (2000) 'Crisis and risk', Risk, (May), 50
-
(2000)
Risk
, pp. 50
-
-
Scholes, M.1
-
118
-
-
0004122659
-
Inefficient Markets - An Introduction to Behavioural Finance
-
Clarendon Lectures in Economics, Oxford University Press, Oxford
-
Shleifer A (2000) Inefficient Markets - An Introduction to Behavioural Finance, Clarendon Lectures in Economics, Oxford University Press, Oxford
-
(2000)
-
-
Shleifer, A.1
-
120
-
-
0344354020
-
LIBOR market models in practice
-
Spring
-
Sidenius J (2000) 'LIBOR market models in practice', Journal of Computational Finance3, (3),(Spring), 75-99
-
(2000)
Journal of Computational Finance
, vol.3
, Issue.3
, pp. 75-99
-
-
Sidenius, J.1
-
121
-
-
84890630878
-
Evaluating new research exploring practical aspects of multi-factor LIBOR market models
-
presented at the ICBI 7th Annual Forum - Global Derivatives 2000, Paris
-
Sidenius J (2000) 'Evaluating new research exploring practical aspects of multi-factor LIBOR market models', presented at the ICBI 7th Annual Forum - Global Derivatives 2000, Paris
-
(2000)
-
-
Sidenius, J.1
-
122
-
-
0347078538
-
An equilibrium characterization of the term structure
-
Vasicek O (1977) 'An equilibrium characterization of the term structure', Journal of Financial Economics, 5, 177-88
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.1
-
123
-
-
0003437368
-
Derivatives: the Theory and Practice of Financial Engineering
-
John Wiley, Chichester
-
Wilmott P (1998) Derivatives: the Theory and Practice of Financial Engineering, John Wiley, Chichester
-
(1998)
-
-
Wilmott, P.1
-
124
-
-
79955931768
-
Extended LIBOR market models with affine and quadratic volatility
-
Working Paper, Department of Statistics, Rheinische Friederich- Wilhelms-Universitat, Bonn, Germany
-
Zuehlsdorff C (2001) 'Extended LIBOR market models with affine and quadratic volatility', Working Paper, Department of Statistics, Rheinische Friederich- Wilhelms-Universitat, Bonn, Germany.
-
(2001)
-
-
Zuehlsdorff, C.1
|