Found 8 Documents (Results 1–8)
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model. (English) Zbl 1398.91594
Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 191-226 (2016).
Interest rate modeling: post-crisis challenges and approaches. (English) Zbl 1418.91553
SpringerBriefs in Quantitative Finance. Cham: Springer (ISBN 978-3-319-25383-1/pbk; 978-3-319-25385-5/ebook). xiii, 140 p. (2015).
Reviewer: Stefan Tappe (Freiburg)
Stochastic control and pricing under swap measures. (English) Zbl 1281.91156
Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VII. Centro Stefano Franscini, Ascona (Ticino), Switzerland, May 23–27, 2011. Basel: Birkhäuser/Springer (ISBN 978-3-0348-0544-5/hbk; 978-3-0348-0545-2/ebook). Progress in Probability 67, 363-379 (2013).
Arbitrage-free multifactor term structure models: a theory based on stochastic control. (English) Zbl 1286.91135
Reviewer: Eliane R. Rodrigues (México D. F.)
Financial mathematics. Theory and problems for multi-period models. Translated and extended version of the original Italian edition. (English) Zbl 1247.91001
Unitext 59. La Matematica per il 3+2. Milano: Springer (ISBN 978-88-470-2537-0/pbk; 978-88-470-2538-7/ebook). ix, 288 p. (2012).
Reviewer: Tamás Mátrai (Budapest)
Nonlinear filtering in models for interest-rate and credit risk. (English) Zbl 1458.62241
Crisan, Dan (ed.) et al., The Oxford handbook of nonlinear filtering. Oxford: Oxford University Press. 923-959 (2011).
Pricing without equivalent martingale measures under complete and incomplete observation. (English) Zbl 1229.91132
Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 99-121 (2010).
Reviewer: Sören Christensen (Kiel)
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