Pietersz, R.; Pelsser, A.A.J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005
,
risicomanagement
Free keywords Markov-functional model, market model, Bermudan swaption, terminal correlation, hedging,
Greeks for … enables
proper functioning of market models as risk-management tools.
Key words: Markov-functional model, market model …),
Dothan (1978), Black, Derman & Toy (1990), Ho & Lee (1986) and Hull &
White (1990).
The Markov-functional model of Hunt …