PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS (Q2927950)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS |
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PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS (English)
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5 November 2014
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Gaussian HJM multifactor models
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European-style swaptions
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conditioning approach
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rank-1 approximation
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lognormal approximation
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stochastic duration
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Edgeworth expansion
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hyperplane approximation
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low-variance martingale approximation
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