Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model. (English) Zbl 07820577 Rev. Deriv. Res. 26, No. 2-3, 171-206 (2023). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{F. Godin} et al., Rev. Deriv. Res. 26, No. 2--3, 171--206 (2023; Zbl 07820577) Full Text: DOI
de Groot, Oliver; Richter, Alexander W.; Throckmorton, Nathaniel A. Valuation risk revalued. (English) Zbl 07766815 Quant. Econ. 13, No. 2, 723-759 (2022). MSC: 91-XX PDFBibTeX XMLCite \textit{O. de Groot} et al., Quant. Econ. 13, No. 2, 723--759 (2022; Zbl 07766815) Full Text: DOI OA License
Gao, Zhongqin; He, Jingmin The Gerber-Shiu function for the compound Poisson omega model with a three-step premium rate. (English) Zbl 07529905 Commun. Stat., Theory Methods 48, No. 24, 6019-6037 (2019). MSC: 62P20 91B30 62-XX PDFBibTeX XMLCite \textit{Z. Gao} and \textit{J. He}, Commun. Stat., Theory Methods 48, No. 24, 6019--6037 (2019; Zbl 07529905) Full Text: DOI