Author: Mahomed, Obeid
Similar Items: Modelling illiquid volatility skews
- Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
- Mean-variance hedging in an illiquid market
- Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
- Two approaches to modelling the volatility skew
- Multi-curve bootstrapping and implied discounting curves in illiquid markets
- Historically implied swaption skews using non-parametric methods