1

LIBOR Fallback and Quantitative Finance

Year:
2019
Language:
english
File:
PDF, 1.52 MB
english, 2019
2

Interest Rate Modelling in the Multi-Curve Framework ||

Year:
2014
Language:
english
File:
PDF, 18.95 MB
english, 2014
3

Bond Futures and Their Options

Year:
2006
Language:
english
File:
PDF, 493 KB
english, 2006
4

Overnight Futures: Convexity Adjustment

Year:
2018
Language:
english
File:
PDF, 236 KB
english, 2018
7

A Quant Perspective on IBOR Fallback Consultation Results

Year:
2019
Language:
english
File:
PDF, 737 KB
english, 2019
8

CMS Spread Options and Similar Options in Multi-Factor HJM Framework

Year:
2010
Language:
english
File:
PDF, 293 KB
english, 2010
10

Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model

Year:
2003
Language:
english
File:
PDF, 240 KB
english, 2003
11

Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model

Year:
2012
Language:
english
File:
PDF, 417 KB
english, 2012
13

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

Year:
2006
Language:
english
File:
PDF, 609 KB
english, 2006
14

Slow crossing of a stochastic layer

Year:
1991
Language:
english
File:
PDF, 911 KB
english, 1991
16

My Future is Not Convex

Year:
2012
Language:
english
File:
PDF, 276 KB
english, 2012
18

Multi-Curves: Variations on a Theme

Year:
2012
Language:
english
File:
PDF, 569 KB
english, 2012
20

Swaptions in Libor Market Model with local volatility

Year:
2010
Language:
english
File:
PDF, 162 KB
english, 2010
23

The Irony in Derivatives Discounting Part II: The Crisis

Year:
2010
Language:
english
File:
PDF, 149 KB
english, 2010
24

LIBOR Fallback and Quantitative Finance

Year:
2019
File:
PDF, 1.52 MB
2019
29

A Quant Perspective on IBOR Fallback Proposals

Year:
2018
File:
PDF, 537 KB
2018