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1

The Market Model of Interest Rate Dynamics

Alan Brace, Dariusz G¸atarek, Marek Musiela

Journal:

Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 212 KB

english, 1997

2

A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON

Alan Brace, Marek Musiela

Journal:

Mathematical Finance

Year:

1994

Language:

english

File:

PDF, 888 KB

english, 1994

3

Option Pricing, Interest Rates and Risk Management || A Guided Tour through Quadratic Hedging Approaches

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 501 KB

2001

4

General framework for pricing derivative securities

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 1.00 MB

english, 1995

5

A valuation algorithm for indifference prices in incomplete markets

Marek Musiela, Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 204 KB

english, 2004

6

Option Pricing, Interest Rates and Risk Management ||

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 469 KB

english, 2001

7

On the existence and characterization of arbitrage–free measure in contingent claim valuation

Christopeit, Norbert, Musiela, Marek

Journal:

Stochastic Analysis and Applications

Year:

1994

Language:

english

File:

PDF, 536 KB

english, 1994

8

Option Pricing, Interest Rates and Risk Management || Towards a Theory of Volatility Trading

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 425 KB

english, 2001

9

Option Pricing, Interest Rates and Risk Management || Towards a Central Interest Rate Model

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 583 KB

english, 2001

10

Option Pricing, Interest Rates and Risk Management || Shortfall Risk in Long-Term Hedging with Short-Term Futures Contracts

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 463 KB

english, 2001

11

Option Pricing, Interest Rates and Risk Management || Modelling of Forward Libor and Swap Rates

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 654 KB

english, 2001

12

Option Pricing, Interest Rates and Risk Management || Theory of Portfolio Optimization in Markets with Frictions

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 601 KB

2001

13

A generalization of the Kalman filter to models with infinite variance

Alain Le Breton, Marek Musiela

Journal:

Stochastic Processes and their Applications

Year:

1993

Language:

english

File:

PDF, 939 KB

english, 1993

14

Convexity of solutions of parabolic equations

Pierre-Louis Lions, Marek Musiela

Journal:

Comptes Rendus Mathematique

Year:

2006

File:

PDF, 122 KB

2006

15

An example of indifference prices under exponential preferences

Marek Musiela, Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 157 KB

english, 2004

16

Continuous-time term structure models: Forward measure approach

Marek Musiela, Marek Rutkowski

Journal:

Finance and Stochastics

Year:

1997

Language:

english

File:

PDF, 283 KB

english, 1997

17

[Stochastic Modelling and Applied Probability] Martingale Methods in Financial Modelling Volume 36 || Discrete-time Security Markets

Year:

2005

Language:

english

File:

PDF, 706 KB

english, 2005

18

[Stochastic Modelling and Applied Probability] Martingale Methods in Financial Modelling Volume 36 || American Options

Year:

2005

Language:

english

File:

PDF, 343 KB

english, 2005

19

Sequential estimation of parameters of a staochastic differential equation

Journal:

Series Statistics

Year:

1977

Language:

english

File:

PDF, 491 KB

english, 1977

20

[Stochastic Modelling and Applied Probability] Martingale Methods in Financial Modelling Volume 36 || Volatility Risk

Year:

2005

Language:

english

File:

PDF, 549 KB

english, 2005

21

A LOOK AT A BILINEAR MODEL FOR MULTIDIMENSIONAL STOCHASTIC SYSTEMS IN CONTINUOUS TIME

Breton, Alain Le, Musiela, Marek

Journal:

Statistics & Risk Modeling

Year:

1983

Language:

english

File:

PDF, 580 KB

english, 1983

22

Option Pricing, Interest Rates and Risk Management || Market Models with Frictions: Arbitrage and Pricing Issues

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 438 KB

english, 2001

23

Option Pricing, Interest Rates and Risk Management || A Geometric View of Interest Rate Theory

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 468 KB

english, 2001

24

Option Pricing, Interest Rates and Risk Management || Infinite Dimensional Diffusions, Kolmogorov Equations and Interest Rate Models

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 400 KB

english, 2001

25

Option Pricing, Interest Rates and Risk Management || Bayesian Adaptive Portfolio Optimization

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 501 KB

english, 2001

26

Option Pricing, Interest Rates and Risk Management || Credit Risk Modelling: Intensity Based Approach

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 625 KB

english, 2001

27

Option Pricing, Interest Rates and Risk Management || Arbitrage Theory

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 512 KB

english, 2001

28

Option Pricing, Interest Rates and Risk Management || Introduction

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 282 KB

english, 2001

29

Option Pricing, Interest Rates and Risk Management || Latent Variable Models for Stochastic Discount Factors

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 462 KB

english, 2001

30

Option Pricing, Interest Rates and Risk Management || American Options: Symmetry Properties

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 505 KB

english, 2001

31

Option Pricing, Interest Rates and Risk Management || Purely Discontinuous Asset Price Processes

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 588 KB

english, 2001

32

Option Pricing, Interest Rates and Risk Management || Theory of Portfolio Optimization in Markets with Frictions

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 601 KB

english, 2001

33

Option Pricing, Interest Rates and Risk Management || A Guided Tour through Quadratic Hedging Approaches

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 501 KB

english, 2001

34

Option Pricing, Interest Rates and Risk Management || Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 457 KB

english, 2001

35

Option Pricing, Interest Rates and Risk Management || Monte Carlo Methods for Security Pricing

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 751 KB

english, 2001

36

Option Pricing, Interest Rates and Risk Management || Towards a Central Interest Rate Model

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 583 KB

2001

37

Option Pricing, Interest Rates and Risk Management || Infinite Dimensional Diffusions, Kolmogorov Equations and Interest Rate Models

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 400 KB

2001

38

Option Pricing, Interest Rates and Risk Management || Bayesian Adaptive Portfolio Optimization

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 501 KB

2001

39

Option Pricing, Interest Rates and Risk Management || American Options: Symmetry Properties

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 505 KB

2001

40

Option Pricing, Interest Rates and Risk Management || Shortfall Risk in Long-Term Hedging with Short-Term Futures Contracts

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 463 KB

2001

41

Option Pricing, Interest Rates and Risk Management || Credit Risk Modelling: Intensity Based Approach

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 625 KB

2001

42

Option Pricing, Interest Rates and Risk Management || Purely Discontinuous Asset Price Processes

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 588 KB

2001

43

Option Pricing, Interest Rates and Risk Management || Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 457 KB

2001

44

Option Pricing, Interest Rates and Risk Management || Arbitrage Theory

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 512 KB

2001

45

Option Pricing, Interest Rates and Risk Management || Modelling of Forward Libor and Swap Rates

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 654 KB

2001

46

Option Pricing, Interest Rates and Risk Management || Monte Carlo Methods for Security Pricing

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 751 KB

2001

47

Option Pricing, Interest Rates and Risk Management || Latent Variable Models for Stochastic Discount Factors

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 462 KB

2001

48

Option Pricing, Interest Rates and Risk Management || Introduction

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 282 KB

2001

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