Kienitz, Jörg; Caspers, Peter - 2017
Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are … volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant … the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an …