Fast swaption pricing under the market model with a square-root volatility process (Q3498563): Difference between revisions

@@ Property / author @@
-Fan Zhang
@@ Property / author: Fan Zhang / rank @@
-Normal rank
@@ Property / author @@
+Fan Zhang
@@ Property / author: Fan Zhang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680701310961
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+W2126528285
@@ Property / OpenAlex ID: W2126528285 / rank @@
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@@ Property / cites work @@
+Volatility skews and extensions of the Libor market model
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+Q4266143
@@ Property / cites work: Q4266143 / rank @@
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+Monte Carlo methods for security pricing
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+The Market Model of Interest Rate Dynamics
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+A Theory of the Term Structure of Interest Rates
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+The Term Structure of Simple Forward Rates with Jump Risk
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:3498563