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~isPartOf:"International journal of industrial organization"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~isPartOf:"The journal of fixed income"
~person:"McWalter, Thomas A."
~subject:"Risikoprämie"
~subject:"Theory"
~subject:"USA"
~subject:"Volatilität"
~subject:"Yield curve"
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McWalter, Thomas A.
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Effective stochastic local volatility models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1731-1750
Persistent link: https://www.econbiz.de/10014452467
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2
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
3
Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
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