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Caspers, Peter
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Normal Libor in Arrears
Caspers, Peter
-
2012
Persistent link: https://www.econbiz.de/10013096586
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2
Jamshidian Swaption Formula Fine Tuned
Caspers, Peter
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2013
The Jamshidian swaption formula a.k.a. the Jamshidian trick reduces the pricing of an european swaption to the pricing of a series of zerbond options. This works in a one factor interest rate model in which zerobond prices are monotonic in the state variable. We review the method and write it...
Persistent link: https://www.econbiz.de/10013083736
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3
One Factor Gaussian Short Rate Model Implementation
Caspers, Peter
-
2013
We collect some results in Piterbarg, Interest Rate Modelling, needed for the implementation of a GSR model. We develop explicit formulas for piecewise constant volatility and reversion parameters under the forward measure
Persistent link: https://www.econbiz.de/10013083737
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4
Risky Floater Curve Risk
Caspers, Peter
-
2013
It is well known that a plain riskless floater is worth par and has zero interest rate delta immediately before a fixing in a classic one curve setup. We investigate the structure of the delta under credit risk, a first fixing and a margin added to the payoff. We decompose the delta into three...
Persistent link: https://www.econbiz.de/10013086213
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5
Markov Functional One Factor Interest Rate Model Implementation in QuantLib
Caspers, Peter
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2013
Persistent link: https://www.econbiz.de/10013089532
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6
Representative Basket Method Applied
Caspers, Peter
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2013
Persistent link: https://www.econbiz.de/10013076635
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7
Multitenor Volatilities
Caspers, Peter
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2013
We propose a possible approach for pricing interest rate options on underlyings that are not directly quoted in the market due to their non standard tenor. To do so we translate the density given by the smile of the quoted underlying appropriately
Persistent link: https://www.econbiz.de/10013076637
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8
Farmer's CMS Spread Option Formula for Negative Rates
Caspers, Peter
-
2018
Persistent link: https://www.econbiz.de/10012936787
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9
Extracting Call Probabilities from Pricing Models
Caspers, Peter
-
2018
We demonstrate the strong dependency of call probabilities on the pricing measure taking the example of an european swaption in a Hull White one factor model under diff erent T forward measures. As a remedy we suggest a defi nition that makes these probabilities well defi ned and unique
Persistent link: https://www.econbiz.de/10012938486
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10
Implementation of the ZABR Model
Caspers, Peter
-
2015
This is mainly a repeat of Andreasen, Huge, ZABR -- Expansions for the Masses (2011), inserting some more intermediate steps in the calculations and a test of the numerical examples in the original paper against our own implementation in QuantLib
Persistent link: https://www.econbiz.de/10013011784
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