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Hull–White model
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21	VARIANCE DERIVATIVES: PRICING AND CONVERGENCE JOHN CROSBY AND MARK H. A. DAVIS Abstract. We examine the pricing of variance swaps and some generalisations and variants such as selfquantoed variance swaps, gamma swaps, sk Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2012-12-18 04:54:37 Economics Banking Stochastic processes Options Variance swap Black–Scholes Variance risk premium Forward contract Hull–White model Mathematical finance Financial economics Finance
22	Mind the cap Peter J¨ackel∗ First version: Last update: 2003 Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:15 Economics Interest rate cap and floor LIBOR market model Heath–Jarrow–Morton framework Log-normal distribution Normal distribution Hull–White model Volatility smile Interest rate derivative Mathematical finance Financial economics Finance
23	The Future is Convex Peter J¨ackel Atsushi Kawai First version: This version: Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:50 Economics LIBOR market model Heath–Jarrow–Morton framework Hull–White model Short-rate model Log-normal distribution Futures contract Normal distribution Yield curve Mathematical finance Financial economics Finance
24	Semi-analytic valuation of credit linked swaps in a Black-Karasinski framework ¨ Peter Jackel Quant Congress Europe Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:39 Mathematical finance Interest rates Fixed income analysis Hull–White model Interest rate swap Black–Karasinski model Swaption Swap Yield curve Financial economics Finance Economics
25	Predictable Changes in Yields and Forward Rates Add to Reading List Source URL: www.bnet.fordham.edu Language: English - Date: 2009-05-21 17:41:39 Fixed income market Yield curve Mathematical finance Autoregressive conditional heteroskedasticity Errors and residuals in statistics Hull–White model Statistics Econometrics Regression analysis
26	HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? WALTER SCHACHERMAYER AND JOSEF TEICHMANN Add to Reading List Source URL: www.mat.univie.ac.at Language: English - Date: 2005-01-11 13:31:01 Options Investment Stochastic processes Equations Black–Scholes Normal distribution Implied volatility Hull–White model Volatility Financial economics Mathematical finance Finance
27	5. Short rate models Andrew Lesniewski March 3, 2008 Add to Reading List Source URL: www.math.nyu.edu Language: English - Date: 2008-03-10 13:48:17 Financial economics Fixed income analysis Mathematical sciences Stochastic processes Hull–White model Heath–Jarrow–Morton framework Short-rate model LIBOR market model Vasicek model Mathematical finance Statistics Interest rates
28	HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? WALTER SCHACHERMAYER AND JOSEF TEICHMANN Add to Reading List Source URL: www.mat.univie.ac.at Language: English - Date: 2005-01-11 13:31:01 Options Investment Stochastic processes Equations Black–Scholes Normal distribution Implied volatility Hull–White model Volatility Financial economics Mathematical finance Finance
29	PRICING INFLATION-INDEXED OPTIONS WITH STOCHASTIC VOLATILITY FABIO MERCURIO AND NICOLA MORENI Add to Reading List Source URL: www.fabiomercurio.it Language: English - Date: 2005-11-22 10:42:20 Statistics Stochastic volatility Interest rate cap and floor Black–Scholes Heath–Jarrow–Morton framework Fabio Mercurio Forward measure LIBOR market model Hull–White model Mathematical finance Financial economics Finance
30	PDF Document Add to Reading List Source URL: www.columbia.edu Language: English - Date: 2010-02-22 15:06:05 Finance Interest rates Stochastic processes Fixed income analysis Hull–White model Short-rate model Black–Scholes Forward measure Risk-neutral measure Mathematical finance Financial economics Statistics

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