Similar Items: A no-arbitrage macro finance approach to the term structure of interest rates
- Building Interest Rate Curves and SABR Model Calibration
- An application of an entropy principle to short term interest rate modelling
- Heath–Jarrow–Morton models with jumps
- Interest rate model theory with reference to the South African market
- Monetary policy and exchange rates in different economic contexts: Case study of South Africa
- Liquidity risk and no arbitrage
Author: Ghomrasni, Raouf
- The risk parity approach to asset allocation
- Portfolio optimization problems : a martingale and a convex duality approach
- Perturbation methods in derivatives pricing under stochastic volatility
- Optimal cross hedging of Insurance derivatives using quadratic BSDEs
- Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees
- Cubature methods and applications to option pricing