Search CORE

12 research outputs found

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates

Author: A Brace
A Brace
A Timothy
David Heath
Fisher Black
K Sandmann
K Sandmann
KR Miltersen
N Karoui
R Kristian
Sven Rady
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2002
Field of study

Valuation and Risk Management in the Norwegian Electricity Market

Author: AGZ Kemna
D Heath
ES Schwartz
F Jamshidian
JE Hilliard
JM Harrison
KR Miltersen
M Abramowitz
MJ Harrison
P Jorion
R Gibson
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Interest Rates

Author: A Brace
D Brigo
D Heath
J Hull
J Hull
KR Miltersen
L Andersen
O Cheyette
P Carr
PJ Hunt
R Rebonato
RR Chen
S Galluccio
WH Press
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Computing the Lower and Upper Bound Prices for Multi-asset Bermudan Options via Parallel Monte Carlo Simulations

Author: A Brace
D Leisen
F Black
F Jamshidian
FA Longstaff
J Crank
JC Cox
JF Carriere
JN Tsitsiklis
KR Miltersen
KW Morton
L Andersen
L Andersen
M Broadie
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Intergenerational Effects of Guaranteed Pension Contracts

Author: A Consiglio
A Grosen
BA Jensen
FJ Gomes
Helge A Nordahl
JF Cocco
K Borch
KL Judd
KR Miltersen
M Hansen
MJ Brennan
R Yao
RC Merton
RM Dammon
TM Døskeland
Trond M Døskeland
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

A Unified View of LIBOR Models

Author: A Brace
A Papapantoleon
A Papapantoleon
D Belomestny
D Duffie
D Filipović
E Eberlein
F Jamshidian
KR Miltersen
L Wu
M Keller-Ressel
M Ladkau
M Musiela
M Wheatley
T Goll
W Kluge
Z Grbac
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Bifactorial Pricing Models: Light and Shadows in Correlation Role

Author: A Simone De
D Heat
EF Fama
F Black
F Black
F Black
G Barone-Adesi
JA Lopez
JC Cox
JC Cox
KI Amin
KR Miltersen
LO Scott
M-W Hung
MJ Flannery
R Rabinovitch
RC Merton
T Bollerslev
TSY Ho
WK Newey
Y-J Kim
Publication venue: 'Springer Fachmedien Wiesbaden GmbH'
Publication date: 01/01/2014
Field of study

Archivio della ricerca - Università degli studi di Napoli Federico II

Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model

Author: A Deaton
A Mas-Colell
BR Routledge
D Duffie
ES Schwartz
GB Gorton
H Working
J Casassus
J Casassus
J Hull
JC Cox
K Nakajima
Katsushi Nakajima
KR Miltersen
MJ Brennan
N Kaldor
NL Stokey
R Gibson
RT Rockafellar
S Dolatabadi
T Kanamura
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Modeling and estimating commodity prices: copper prices

Author: A Ulloa
AK Dixit
AK Dixit
D Pilipovic
ES Schwartz
ES Schwartz
ES Schwartz
George E Uhlenbeck
H Andersson
H Bessembinder
Ignacio Rios
J Hull
JC Williams
JE Hilliard
KR Miltersen
MJ Nielsen
MT Barlow
R Gibson
RJ-B Wets
RJ-B Wets
Roger J.-B. Wets
Y-C Chen
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Author: A Philipov
A Trolle
Arnaud Doucet
B Routledge
C Andrieu
C Andrieu
D Duffie
D Heath
ES Schwartz
G Roberts
G Roberts
G Roberts
Gareth William Peters
H Haario
H Haario
H Working
J Casassus
J Keynes
JE Hilliard
KR Miltersen
M Brennan
M Bru
Mark Briers
N Kaldor
P Cheridito
P Liu
P Samuelson
Pavel Shevchenko
R Alquist
R Gibson
R Pindyck
X Yan
YF Atchadé
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

core

core