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  1. You have free access to this content
    Bibliography

    Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

    Massimo Morini, Pages: 409–415, 2012

    Published Online : 23 MAY 2012, DOI: 10.1002/9781118467312.biblio

  2. THEORY AND CALIBRATION OF SWAP MARKET MODELS

    Mathematical Finance

    Volume 17, Issue 1, January 2007, Pages: 111–141, S. Galluccio, J.-M. Ly, Z. Huang and O. Scaillet

    Version of Record online : 14 DEC 2006, DOI: 10.1111/j.1467-9965.2007.00296.x

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    XVA: Credit, Funding and Capital Valuation Adjustments

    Andrew Green, Pages: 469–488, 2015

    Published Online : 16 OCT 2015, DOI: 10.1002/9781119161233.biblio

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    Bibliography

    Manufacturing and Managing Customer-Driven Derivatives

    Dong Qu, Pages: 521–530, 2016

    Published Online : 2 FEB 2016, DOI: 10.1002/9781119170433.biblio

  5. Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

    Journal of Futures Markets

    Volume 33, Issue 9, September 2013, Pages: 827–867, Jui-Jane Chang, Son-Nan Chen and Ting-Pin Wu

    Version of Record online : 11 JUN 2012, DOI: 10.1002/fut.21567

  6. International evidence on alternative models of the term structure of volatilities

    Journal of Futures Markets

    Volume 29, Issue 7, July 2009, Pages: 653–683, Antonio Díaz, Vicente Meneu and Eliseo Navarro

    Version of Record online : 6 APR 2009, DOI: 10.1002/fut.20377

  7. THE AFFINE LIBOR MODELS

    Mathematical Finance

    Volume 23, Issue 4, October 2013, Pages: 627–658, Martin Keller-Ressel, Antonis Papapantoleon and Josef Teichmann

    Version of Record online : 14 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00531.x

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    Bibliography

    Volatility and Correlation: The Perfect Hedger and the Fox, Second Edition

    Riccardo Rebonato, Pages: 805–812, 2013

    Published Online : 15 APR 2013, DOI: 10.1002/9781118673539.biblio

  9. You have free access to this content
    References

    The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

    Riccardo Rebonato, Kenneth McKay, Richard White, Pages: 271–274, 2015

    Published Online : 26 SEP 2015, DOI: 10.1002/9781119206392.refs

  10. You have free access to this content
    References

    Dynamic Term Structure Modeling: The Fixed Income Valuation Course

    Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto, Pages: 647–657, 2015

    Published Online : 19 SEP 2015, DOI: 10.1002/9781119201571.refs

  11. The components of interest rate swap spreads: Theory and international evidence

    Journal of Futures Markets

    Volume 23, Issue 4, April 2003, Pages: 347–387, Frank Fehle

    Version of Record online : 24 FEB 2003, DOI: 10.1002/fut.10065

  12. Local calibration of separable BGM models and finite difference pricing of Libor and CMS spread based exotics

    Wilmott Journal

    Volume 1, Issue 2, April 2009, Pages: 109–120, Leslie Ng

    Version of Record online : 18 MAY 2009, DOI: 10.1002/wilj.8

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    Structural and functional relationships of natural and artificial dimeric bovine ribonucleases: New scaffolds for potential antitumor drugs

    FEBS Letters

    Volume 587, Issue 22, November 15, 2013, Pages: 3601–3608, Giovanni Gotte, Douglas V. Laurents, Antonello Merlino, Delia Picone and Roberta Spadaccini

    Version of Record online : 7 OCT 2013, DOI: 10.1016/j.febslet.2013.09.038

  14. Market Models

    Standard Article

    Encyclopedia of Actuarial Science

    Antoon Pelsser

    Published Online : 15 SEP 2006, DOI: 10.1002/9780470012505.tam005

  15. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?

    The Journal of Finance

    Volume 62, Issue 1, February 2007, Pages: 345–382, ROBERT JARROW, HAITAO LI and FENG ZHAO

    Version of Record online : 11 JAN 2007, DOI: 10.1111/j.1540-6261.2007.01209.x

  16. Old and new approaches to LIBOR modeling

    Statistica Neerlandica

    Volume 64, Issue 3, August 2010, Pages: 257–275, Antonis Papapantoleon

    Version of Record online : 24 JUN 2010, DOI: 10.1111/j.1467-9574.2010.00458.x

  17. Market Models

    Standard Article

    Wiley StatsRef: Statistics Reference Online

    Antoon Pelsser

    Published Online : 29 SEP 2014, DOI: 10.1002/9781118445112.stat04708

  18. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

    The Journal of Finance

    Volume 56, Issue 6, December 2001, Pages: 2067–2109, Francis A. Longstaff, Pedro Santa-Clara and Eduardo S. Schwartz

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00399

  19. A drift-free simulation method for pricing commodity derivatives

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 4, July/August 2015, Pages: 536–550, José Luis Fernández, Marta Pou and Carlos Vázquez

    Version of Record online : 5 AUG 2014, DOI: 10.1002/asmb.2056

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    The unaccountable risks of LIBOR

    The British Journal of Sociology

    Volume 67, Issue 1, March 2016, Pages: 71–96, Dick Bryan and Michael Rafferty

    Version of Record online : 15 FEB 2016, DOI: 10.1111/1468-4446.12177