Author: Backwell, Alex
Similar Items: Level Dependence in Volatility in Linear-Rational Term Structure Models
- Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility
- Path-dependent volatility: an application to the South African market
- Level-dependent volatility in jumping short-rate models
- Modelling illiquid volatility skews
- Estimating dynamic affine term structure models
- Pricing with Bivariate Unspanned Stochastic Volatility Models