yr 〜
yr

Search results 22

Regulierung finanzieller Referenzwerte : der aufsichtsrechtliche Rahmen zur Verhinderung von Referenzwertmanipulationen : eine Analyse der Benchmark Regulation

Regulierung finanzieller Referenzwerte : der aufsichtsrechtliche Rahmen zur Verhinderung von Referenzwertmanipulationen : eine Analyse der Benchmark Regulation
Paper図書
Kristina L. GütteMohr Siebeckc2020
Other Libraries in Japan
  • Subject HeadingEuropäische Union Libor EURIBOR Marktmanipulation Ben...
  • Subject Heading (ID)Europäische Union Libor EURIBOR Marktmanipulation Ben...

Calibration and parameterization methods for the Libor Market Model

Calibration and parameterization methods for the Libor Market Model
Paper図書
Christoph HacklSpringer Gablerc2014
Other Libraries in Japan
  • Subject HeadingLIBOR market model
  • Subject Heading (ID)LIBOR market model

Holding bankers to account : a decade of market manipulation, regulatory failures and regulatory reforms : hardback

Holding bankers to account : a decade of market manipulation, regulatory failures and regulatory reforms : hardback
Paper図書
Oonagh McDonaldManchester University Press2019
Other Libraries in Japan
  • Subject Heading...sis, 2008-2009 LIBOR market model
  • Subject Heading (ID)...sis, 2008-2009 LIBOR market model

A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options

A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-734
Other Libraries in Japan
  • Subject HeadingCurrency option libor market model stochastic volat...

SABR and SABR LIBOR market models in practice : with examples implemented in Python

SABR and SABR LIBOR market models in practice : with examples implemented in Python
Paper図書
Christian Crispoldi, Gérald Wigger, Peter LarkinPalgrave Macmillan2015
Other Libraries in Japan
  • Subject Heading... -- Accounting LIBOR market model Python (Computer...
  • Subject Heading (ID)... -- Accounting LIBOR market model Python (Computer...

A Note on Construction of Multiple Swap Curves with and without Collateral

A Note on Construction of Multiple Swap Curves with and without Collateral
Paper文書・図像類
Fujii, Masaaki, Yasufumi, Shimada, Akihiko, Takahashi日本経済国際共同センター2009-07Discussion paper series. CIRJE-FCIRJE-F-630
Other Libraries in Japan
  • Subject HeadingLibor swap tenor yield curve collat...

A General Computation Scheme for a High-Order Asymptotic Expansion Method

A General Computation Scheme for a High-Order Asymptotic Expansion Method
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta, Toda, Masashi日本経済国際共同センター2011-02Discussion paper series. CIRJE-FCIRJE-F-787
Other Libraries in Japan
  • Subject Heading...y λ-SABR Model Libor Market Model Currency Options

Modeling of Interest Rate Term Structures under Collateralization and its Implications

Modeling of Interest Rate Term Structures under Collateralization and its Implications
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Takahashi, Akihiko日本経済国際共同センター2010-09Discussion paper series. CIRJE-FCIRJE-F-762
Other Libraries in Japan
  • Subject Headingswap collateral Libor OIS EONIA Fed-Fund cross curr...

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
Paper文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-737
Other Libraries in Japan
  • Subject Heading...tic Volatility Libor Market Model Approximation Fo...

Modelling interest rates : advances in derivatives pricing : pbk

Modelling interest rates : advances in derivatives pricing : pbk
Paper図書
edited by Fabio MercurioRisk Books, a Division of Incisive Financialc2009
Other Libraries in Japan
  • Subject HeadingDerivative securities Interest rates -- Mathematical models LIBOR market model Financial future...
  • Subject Heading (ID)Derivative securities Interest rates -- Mathematical models LIBOR market model Financial future...

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-05CRR Working Paper, Series BB-4p.1-21
Other Libraries in Japan
  • Subject Heading...iffusion model LIBOR LIBOR market model
  • Note (General)type:Technical Report The LIBOR market (LM) model (Brace et a...

A Survey on Modeling and Analysis of Basis Spreads

A Survey on Modeling and Analysis of Basis Spreads
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Akihiko, Takahashi日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-697
Other Libraries in Japan
  • Subject HeadingLibor swap tenor swap spread curve ...

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options
Paper文書・図像類
Takehara, Kohta, Toda, Masashi, Takahashi, Akihiko日本経済国際共同センター2010-07Discussion paper series. CIRJE-FCIRJE-F-753
Other Libraries in Japan
  • Subject Heading...tic Volatility Libor Market Model Currency Options...

A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies

A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Akihiko, Takahashi日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-698
Other Libraries in Japan
  • Subject HeadingMarket Model HJM model Libor tenor swap curve OIS cross cu...

Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options

Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2008-01Discussion paper series. CIRJE-FCIRJE-F-538
Other Libraries in Japan
  • Subject HeadingCurrency option libor market model stochastic volat...

Choice of Collateral Currency

Choice of Collateral Currency
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-778
Other Libraries in Japan
  • Subject Headingswap collateral derivatives Libor currency OIS EONIA Fed-Fund C...

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-781
Other Libraries in Japan
  • Subject Headingswap collateral derivatives Libor currency OIS EONIA Fed-Fund C...

Specification and Test of Extended LIBOR Market Models

Specification and Test of Extended LIBOR Market Models
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-11CRR Working Paper, Series BB-3p.1-18
Other Libraries in Japan
  • Subject HeadingDiffusion process Empirical analysis Factor analysis LIBOR market model Specification Te...
  • Note (General)type:Technical Report LIBOR market (LM) mo......ies of forward LIBOR rates depend o......orm on forward LIBOR rates’ volatilities inthe ext...

Asymptotic Expansion Approaches in Finance: Applications to Currency Options

Asymptotic Expansion Approaches in Finance: Applications to Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-654
Other Libraries in Japan
  • Subject Heading...rrency Options Libor Market Model Stochastic Volat...

Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management

Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Takahashi, Akihiko日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-743
Other Libraries in Japan
  • Subject Headingswap collateral derivatives Libor currency OIS EONIA Fed-Fund C...