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Continuous time limits in the generalized Ho-Lee framework under the forward measure
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A systematic approach to pricing and hedging of international derivates with interest rate risk
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Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds
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Factor models and the shape of the term structure
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A systematic approach to pricing and hedging of international derivates with interest rate risk
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On short rate processes and their implications for term structure movements
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Continuous time limits in the generalized Ho/Lee framework under the risk-neutral- and forward-measures
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Continuous-time limits in the generalized Ho-Lee framework under the forward measure
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Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds
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Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds