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Robust long-term interest rate risk hedging in incomplete bond markets.
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- Journal of Pension Economics & Finance, 2021, v. 20, n. 2, p. 273, doi. 10.1017/S1474747220000128
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- Article
Robust hedging in incomplete markets.
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- Journal of Pension Economics & Finance, 2019, v. 18, n. 3, p. 473, doi. 10.1017/S1474747218000069
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- Article
A gradient method for high-dimensional BSDEs.
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- Monte Carlo Methods & Applications, 2024, v. 30, n. 2, p. 183, doi. 10.1515/mcma-2024-2002
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- Article
A Monte Carlo method for backward stochastic differential equations with Hermite martingales.
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- Monte Carlo Methods & Applications, 2019, v. 25, n. 1, p. 37, doi. 10.1515/mcma-2019-2028
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- Article
ON THE APPLICABILITY OF THE WANG TRANSFORM FOR PRICING FINANCIAL RISKS.
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- Astin Bulletin, 2008, v. 38, n. 1, p. 171, doi. 10.1017/S0515036100015129
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- Article
Markov-functional interest rate models.
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- Finance & Stochastics, 2000, v. 4, n. 4, p. 391, doi. 10.1007/PL00013525
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- Article
Pricing double barrier options using Laplace transforms.
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- Finance & Stochastics, 2000, v. 4, n. 1, p. 95, doi. 10.1007/s007800050005
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- Article
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL.
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- International Journal of Theoretical & Applied Finance, 2010, v. 13, n. 1, p. 1, doi. 10.1142/S0219024910005668
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- Article
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.
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- Mathematical Finance, 2014, v. 24, n. 1, p. 25, doi. 10.1111/mafi.12026
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- Article
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options.
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- Journal of Futures Markets, 2011, v. 31, n. 2, p. 103, doi. 10.1002/fut.20461
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- Article
A comparison of single factor Markov-functional and multi factor market models.
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- Review of Derivatives Research, 2010, v. 13, n. 3, p. 245, doi. 10.1007/s11147-009-9050-5
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- Article
On the Information in the Interest Rate Term Structure and Option Prices.
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- Review of Derivatives Research, 2004, v. 7, n. 2, p. 99, doi. 10.1023/B:REDR.0000031175.79497.7f
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- Article
Risk-Neutral Valuation of Real Estate Derivatives.
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- Journal of Derivatives, 2015, v. 23, n. 1, p. 89, doi. 10.3905/jod.2015.23.1.089
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- Article
Risk-Managing Bermudan Swaptions in a LIBOR Model.
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- Journal of Derivatives, 2004, v. 11, n. 3, p. 51, doi. 10.3905/jod.2004.391035
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- Article
Observational Equivalence of Discrete String Models and Market Models.
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- Journal of Derivatives, 2002, v. 10, n. 1, p. 55, doi. 10.3905/jod.2002.319190
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- Article
Forward versus Spot Interest Rate Models of the Term Structure: An Empirical Comparison.
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- Journal of Derivatives, 2000, v. 7, n. 3, p. 9, doi. 10.3905/jod.2000.319122
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- Article
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis.
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- European Finance Review, 2001, v. 5, n. 3, p. 201, doi. 10.1023/A:1013816921237
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- Article