A jump-diffusion Libor model and its robust calibration

Author： Belomestny Denis   Schoenmakers John  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.11, Iss.4, 2011-04, pp. : 529-546

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A jump-diffusion model for the euro overnight rate

By Raudaschl Mattia  

Quantitative Finance, Vol. 12, Iss. 1, 2012-01 ,pp. : 149-165

Routledge Ltd

Access to resources Recommend Favorite

Pricing a class of exotic commodity options in a multi-factor jump-diffusion model

By Crosby John  

Quantitative Finance, Vol. 8, Iss. 5, 2008-08 ,pp. : 471-483

Routledge Ltd

Access to resources Recommend Favorite

A jump-diffusion model for pricing corporate debt securities in a complex capital structure

By Kijima M.   Suzuki T.  

Quantitative Finance, Vol. 1, Iss. 6, 2001-06 ,pp. : 611-620

Routledge Ltd

Access to resources Recommend Favorite

Numerical computation of Theta in a jump-diffusion model by integration by parts

By David Delphine   Privault Nicolas  

Quantitative Finance, Vol. 9, Iss. 6, 2009-09 ,pp. : 727-735

Routledge Ltd

Access to resources Recommend Favorite

A forward started jump-diffusion model and pricing of cliquet style exotics

By Drimus Gabriel  

Review of Derivatives Research, Vol. 13, Iss. 2, 2010-07 ,pp. : 125-140

Springer Publishing Company

Access to resources Recommend Favorite