Similar Items: Implementing short-rate models with jumps at deterministic times
- Level-dependent volatility in jumping short-rate models
- An introduction to interest rate jumps at deterministic times
- Identifying jumps in financial time series: a comparative study of jump detection tests
- Jump detection tests in financial time series ? a deep learning approach
- An application of short rate modelling involving roll-over risk to caplet pricing
- Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
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