Author: McWalter, Thomas
Similar Items: Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model
- Trolle-Schwartz HJM interest rate model
- Characteristic function pricing with the Heston-LIBOR hybrid model
- The detection of phase transitions in the South African market
- A comprehensive view of Markov-Functional models and their application
- A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
- The Vyncke et al. solution for pricing European-style arithmetic Asian options