Derivative pricing with two collateral rates

SSRN Electronic Journal ◽

10.2139/ssrn.3785526 ◽

2021 ◽

Author(s):

Marc P. A. Henrard

Keyword(s):

Derivative Pricing

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A general dimension reduction technique for derivative pricing

The Journal of Computational Finance ◽

10.21314/jcf.2006.143 ◽

2006 ◽

Vol 10 (2) ◽

pp. 129-155 ◽

Cited By ~ 57

Author(s):

Junichi Imai ◽

Ken Seng Tan

Keyword(s):

Dimension Reduction ◽

Reduction Technique ◽

Derivative Pricing ◽

General Dimension

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Weather Derivative Pricing and the Year-ahead Forecasting of Surface Air Temperature: An Empirical Evaluation of Damped Linear Detrending

SSRN Electronic Journal ◽

10.2139/ssrn.623381 ◽

2004 ◽

Cited By ~ 3

Author(s):

Stephen Jewson ◽

Jeremy Penzer

Keyword(s):

Air Temperature ◽

Empirical Evaluation ◽

Surface Air Temperature ◽

Derivative Pricing

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Derivative Pricing Models with Regime Switching

The Journal of Derivatives ◽

10.3905/jod.2005.580516 ◽

2005 ◽

Vol 13 (1) ◽

pp. 41-47 ◽

Cited By ~ 11

Author(s):

Craig Edwards

Keyword(s):

Regime Switching ◽

Derivative Pricing ◽

Pricing Models

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Stochastic modeling and financial derivative pricing

10.14264/e133233 ◽

2001 ◽

Author(s):

◽

Quentin W. Kerr

Keyword(s):

Stochastic Modeling ◽

Derivative Pricing ◽

Financial Derivative

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Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing

Computational Economics ◽

10.1007/s10614-017-9732-2 ◽

2017 ◽

Vol 54 (1) ◽

pp. 343-366 ◽

Cited By ~ 3

Author(s):

Ye Xiao ◽

Xiaoqun Wang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Derivative Pricing ◽

Effective Dimension ◽

Quasi Monte Carlo

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Derivative Pricing via Numerical Solutions of PIDEs

Computational Methods in Finance ◽

10.1201/b12755-15 ◽

2016 ◽

pp. 201-232

Keyword(s):

Numerical Solutions ◽

Derivative Pricing

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Interest-Rate Modelling and Derivative Pricing

Financial Mathematics ◽

10.1201/9781315373768-15 ◽

2018 ◽

pp. 615-652

Author(s):

Giuseppe Campolieti ◽

Roman N. Makarov

Keyword(s):

Interest Rate ◽

Derivative Pricing

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Risk Control and Derivative Pricing in Non-Gaussian Markets

The Statistical Mechanics of Financial Markets ◽

10.1007/978-3-662-04423-0_7 ◽

2001 ◽

pp. 139-157

Author(s):

Johannes Voit

Keyword(s):

Risk Control ◽

Derivative Pricing ◽

Non Gaussian

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9. Derivative Pricing Models

The Econometrics of Financial Markets ◽

10.1515/9781400830213-013 ◽

1997 ◽

pp. 339-394

Keyword(s):

Derivative Pricing ◽

Pricing Models

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Implied Remaining Variance in Derivative Pricing

The Journal of Fixed Income ◽

10.3905/jfi.2014.23.4.019 ◽

2014 ◽

Vol 23 (4) ◽

pp. 19-32 ◽

Cited By ~ 4

Author(s):

Peter Carr ◽

Jian Sun

Keyword(s):

Derivative Pricing

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