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Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien; Tan, Shih-Hau - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
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Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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Model risk and model choice in the case of barrier options and bonus certificates
Baule, Rainer; Shkel, David Sebastian - In: Journal of banking & finance 133 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013256692
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SABR Type Libor (Forward) Market Model (SABR/LMM) With Time-Dependent Skew and Smile
Tsuchiya, Osamu - 2022
Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha … SABR volatility surface. In the interest rate derivatives models, Libor Market Model (LMM) (in a post-Libor world, Forward …
Persistent link: https://www.econbiz.de/10013403711
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The realized local volatility surface
Ma, Yuming; Sengoku, Shintaro; Nakata, Kazuhide - In: The journal of investment strategies 12 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014484616
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Local volatility calibration during turbulent periods
Skindilias, Konstantinos; Lo, Chia Chun - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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Probabilistic machine learning for local volatility
Tegnér, Martin; Roberts, Stephen - In: The journal of computational finance 25 (2021) 3, pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343