Similar Items: Accounting for roll-over risk in the pricing of caps and floors
- Break-even volatility for caps, floors and swaptions
- An application of short rate modelling involving roll-over risk to caplet pricing
- Credit default swaps in a roll-over risk framework
- Quantifying Model Risk in Option Pricing and Value-at-Risk Models
- Volatility transformation in a multi-curve setting applied to caps and swaptions
- Extracting risk aversion estimates from option prices/implied volatility
Author: Backwell, Alex
- Credit default swaps in a roll-over risk framework
- An introduction to interest rate jumps at deterministic times
- An application of short rate modelling involving roll-over risk to caplet pricing
- Robustness of bond portfolio optimisation
- Implementation of Bivariate Unspanned Stochastic Volatility Models
- Calibrating Term Structure Models to an Initial Yield Curve