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Closing the Gap: Arbitrage Free Valuation of Derivatives in ALM

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Efficient Methods for Valuing Interest Rate Derivatives

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Introduction to Stochastic Integration

inferredcites →https://doi.org/10.1007/978-3-642-14394-6_5openalex-extracted

Stochastic Differential Equations

inferredcites →https://doi.org/10.1007/b98840openalex-extracted

Methods of Mathematical Finance

inferredcites →https://doi.org/10.1016/0022-0531(79)90043-7openalex-extracted

Martingales and arbitrage in multiperiod securities markets

inferredcites →https://doi.org/10.1016/0304-4149(83)90038-8openalex-extracted

A stochastic calculus model of continuous trading: Complete markets

inferredcites →https://doi.org/10.1016/c2013-0-10756-8openalex-extracted

Forecasting Economic Time Series

inferredcites →https://doi.org/10.1016/s0377-2217(96)00387-6openalex-extracted

A hybrid simulation/optimisation scenario model for asset/liability management

inferredcites →https://doi.org/10.1017/cbo9780511813658openalex-extracted

Probability with Martingales

inferredcites →https://doi.org/10.1086/260062openalex-extracted

The Pricing of Options and Corporate Liabilities

inferredcites →https://doi.org/10.1086/296409openalex-extracted

Parsimonious Modeling of Yield Curves

inferredcites →https://doi.org/10.1093/0198775180.001.0001openalex-extracted

Arbitrage Theory in Continuous Time

inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-extracted

Term Premia and Interest Rate Forecasts in Affine Models

inferredcites →https://doi.org/10.1137/1105027openalex-extracted

On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

inferredcites →https://doi.org/10.1201/9781420009941openalex-extracted

Introduction to Stochastic Calculus Applied to Finance

inferredcites →https://doi.org/10.1287/opre.1050.0219openalex-extracted

A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options

inferredcites →https://doi.org/10.3792/pia/1195572786openalex-extracted

Stochastic integral

inferredcites →https://doi.org/10.3905/jpm.2004.244openalex-extracted

How Derivatives Can Help Solve the Pension Fund Crisis

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