Journal

Article title

Authors

Content

Full texts:

Title variants

Languages of publication

Abstracts

Publisher

Journal

Year

Issue

Pages

65-87

Physical description

Contributors

author

- Uniwersytet Warszawski

References

- Agarwal S., Driscoll J.C., Laibson D.I., Optimal Mortgage Refinancing: A Closed-Form Solution, Journal of Money, Credit and Banking 2013, 45(4), pp. 591–622.
- Atiya A.F., Wall S., An analytic approximation of the likelihood function for the Heston model volatility estimation problem, Quantitative Finance 2009, 9(3), pp. 289–296.
- Black F., Scholes M., The pricing of options and corporate liabilities, Journal of Political Economy 1973, 81(3), pp. 637–654.
- Brigo D., Mercurio F., Interest rate models-theory and practice: with smile, inflation and credit, Springer Science & Business Media 2007.
- Cheyette O., Term structure dynamics and mortgage valuation, The Journal of Fixed Income 1992, 1(4), pp. 28–41.
- Collin-Dufresne P., Harding J.P., A closed form formula for valuing mortgages, The Journal of Real Estate Finance and Economics 1999, 19(2), pp. 133–146.
- Cox J.C., Ingersoll Jr J.E., Ross S.A., A theory of the term structure of interest rates, Econometrica: Journal of the Econometric Society 1985, pp. 385–407.
- Davidson A., Levin A., Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty, Oxford University Press 2014.
- Dupire B., Pricing with a smile, Risk 1994, 7(1), pp. 18–20.
- Dupire B., Fair Skew: Break-Even Volatility Surface, Discussion paper, Bloomberg 2006.
- Gatarek D., Jabłecki J., A local volatility model for swaptions smile, Journal of Computational Finance 2016, Forthcoming.
- Gatarek D., Jabłecki J., Qu D., Non-parametric local volatility formula for interest rate swaptions, Risk 2016, pp. 120–124.
- Heston S.L., A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 1993, 6(2), pp. 327–343.
- Kau J.B., Keenan D.C., An overview of the option-theoretic pricing of mortgages, Journal of Housing Research 1995, 6(2), p. 217.
- Longstaff F.A., Schwartz E.S., Valuing American options by simulation: a simple leastsquares approach, Review of Financial studies 2001, 14(1), pp. 113–147.
- Qu D., Manufacturing and managing customer-driven derivatives, John Wiley & Sons, Chichester 2016, West Sussex, United Kingdom.

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-30851b37-8a47-4bfa-93ab-fc3d7ea634cb