Matches in SemOpenAlex for { <https://semopenalex.org/work/W1586665197> ?p ?o ?g. }
Showing items 1 to 74 of
74
with 100 items per page.
- W1586665197 abstract "In this paper we study and implement a finite difference version of the augmented state variable approach proposed by Hull & White (1993) that allows for pathdependent securities. We apply the method to a class of path-dependent interest rate derivatives and consider several examples including mortgage backed securities and collateralized mortgage obligations. The efficiency of the method is assessed in a comparative study with Monte Carlo simulation and we find it to be faster for a similar accuracy." @default.
- W1586665197 created "2016-06-24" @default.
- W1586665197 creator A5073855172 @default.
- W1586665197 date "2003-05-09" @default.
- W1586665197 modified "2023-09-27" @default.
- W1586665197 title "Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup" @default.
- W1586665197 cites W1558968457 @default.
- W1586665197 cites W1600624394 @default.
- W1586665197 cites W1770325517 @default.
- W1586665197 cites W1974418079 @default.
- W1586665197 cites W1987195385 @default.
- W1586665197 cites W1996019668 @default.
- W1586665197 cites W2066694139 @default.
- W1586665197 cites W2083661135 @default.
- W1586665197 cites W2086551551 @default.
- W1586665197 cites W2112378860 @default.
- W1586665197 cites W2171687663 @default.
- W1586665197 hasPublicationYear "2003" @default.
- W1586665197 type Work @default.
- W1586665197 sameAs 1586665197 @default.
- W1586665197 citedByCount "3" @default.
- W1586665197 crossrefType "posted-content" @default.
- W1586665197 hasAuthorship W1586665197A5073855172 @default.
- W1586665197 hasConcept C10138342 @default.
- W1586665197 hasConcept C105795698 @default.
- W1586665197 hasConcept C149782125 @default.
- W1586665197 hasConcept C162118730 @default.
- W1586665197 hasConcept C162324750 @default.
- W1586665197 hasConcept C175025494 @default.
- W1586665197 hasConcept C186027771 @default.
- W1586665197 hasConcept C19499675 @default.
- W1586665197 hasConcept C2777910564 @default.
- W1586665197 hasConcept C33923547 @default.
- W1586665197 hasConcept C41008148 @default.
- W1586665197 hasConcept C86537402 @default.
- W1586665197 hasConceptScore W1586665197C10138342 @default.
- W1586665197 hasConceptScore W1586665197C105795698 @default.
- W1586665197 hasConceptScore W1586665197C149782125 @default.
- W1586665197 hasConceptScore W1586665197C162118730 @default.
- W1586665197 hasConceptScore W1586665197C162324750 @default.
- W1586665197 hasConceptScore W1586665197C175025494 @default.
- W1586665197 hasConceptScore W1586665197C186027771 @default.
- W1586665197 hasConceptScore W1586665197C19499675 @default.
- W1586665197 hasConceptScore W1586665197C2777910564 @default.
- W1586665197 hasConceptScore W1586665197C33923547 @default.
- W1586665197 hasConceptScore W1586665197C41008148 @default.
- W1586665197 hasConceptScore W1586665197C86537402 @default.
- W1586665197 hasLocation W15866651971 @default.
- W1586665197 hasOpenAccess W1586665197 @default.
- W1586665197 hasPrimaryLocation W15866651971 @default.
- W1586665197 hasRelatedWork W1546946650 @default.
- W1586665197 hasRelatedWork W16411919 @default.
- W1586665197 hasRelatedWork W1795734235 @default.
- W1586665197 hasRelatedWork W1909289471 @default.
- W1586665197 hasRelatedWork W1988274297 @default.
- W1586665197 hasRelatedWork W1994103977 @default.
- W1586665197 hasRelatedWork W1996697006 @default.
- W1586665197 hasRelatedWork W2040033076 @default.
- W1586665197 hasRelatedWork W2095196343 @default.
- W1586665197 hasRelatedWork W2272567524 @default.
- W1586665197 hasRelatedWork W2914857584 @default.
- W1586665197 hasRelatedWork W3087423436 @default.
- W1586665197 hasRelatedWork W3100095746 @default.
- W1586665197 hasRelatedWork W3100732137 @default.
- W1586665197 hasRelatedWork W3125967974 @default.
- W1586665197 hasRelatedWork W3126054926 @default.
- W1586665197 hasRelatedWork W3146686598 @default.
- W1586665197 hasRelatedWork W75057745 @default.
- W1586665197 hasRelatedWork W888930564 @default.
- W1586665197 hasRelatedWork W3123427590 @default.
- W1586665197 isParatext "false" @default.
- W1586665197 isRetracted "false" @default.
- W1586665197 magId "1586665197" @default.
- W1586665197 workType "article" @default.