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Extended Libor Market Models with Stochastic Volatility, Leif Andersen, Rupert Brotherton-Ratcliffe, Gen Re Securities, December 2001
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Volatility Skews and Extensions of the Libor Market Model, Leif Andersen and Jesper Andreasen, General Re Financial Products, August 27, 1998
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Yield Curve Modelling with Skews and Stochastic Volatility, Leif Andersen and Jesper Andreasen, Bank of America Securities, August 2002
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Static and Dynamic Approach to the Cox-Ingersoll-Ross (CIR) Model and Empirical Evaluation of the Market Price of Risk, Luca Torosantucci, Adamo Uboldi
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Interest Rate Derivatives Fixed Income Trading Strategies, eurex
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Interest Rate Derivatives Fixed Income Trading Strategies – Questions and Case Studies, eurex
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Equity and Equity Index Derivatives Trading Strategies – Questions and Case Studies, eurex
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Investments Lecture 4: Hedging Interest Rate Risk Exposure Traditional Methods, Philip H. Dybvig, 2000
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On Cox processes and credit risky securities, David Lando, Department of Operations Research, University of Copenhagen, March 31, 1998.
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Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model, Marc Henrard.
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The Implementation of the Libor Market Model, Massimo Morini, May 12, 2005
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Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities, Francis A. Longstaff, December 2002.
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