Similar Items: Trolle-Schwartz HJM interest rate model
- Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model
- South African Inflation Modelling Under the HJM Framework
- Hedging performance of interest-rate models
- An introduction to interest rate jumps at deterministic times
- Hedging Interest-Rate Options Using Principal Components Analysis
- Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model
Author: McWalter, Thomas
- Volatility transformation in a multi-curve setting applied to caps and swaptions
- The use of stochastic collocation for sampling from expensive distributions with applications in finance
- Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model
- Employee Stock Option Valuation with Earnings-Based Vesting Condition
- Optimal tree methods
- Concurrence Between the Displaced Libor Market and Hull-White Models