Author: Dalton, Rowan
Author: Roberts, Christopher
Similar Items: Exposure modelling under change of measure
- Potential Future Exposure in the Presence of Initial Margin
- South African Inflation Modelling Under the HJM Framework
- Pricing a Bermudan option under the constant elasticity of variance model
- Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
- Characteristic function pricing with the Heston-LIBOR hybrid model
- Monte Carlo methods for the estimation of value-at-risk and related risk measures
Similar Items: Modelling stochastic multi-curve basis
- Multi-curve bootstrapping and implied discounting curves in illiquid markets
- Volatility transformation in a multi-curve setting applied to caps and swaptions
- Calibrating Term Structure Models to an Initial Yield Curve
- Implementation of Bivariate Unspanned Stochastic Volatility Models
- Pricing with Bivariate Unspanned Stochastic Volatility Models
- Local Stochastic Volatility—The Hyp-Hyp Model