Pages that link to "Item:Q5312583"
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The following pages link to Stochastic Volatility Model with Time‐dependent Skew (Q5312583):
Displayed 16 items.
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- Mimicking an Itō process by a solution of a stochastic differential equation (Q363861) (← links)
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Stochastic volatility for interest rate derivatives (Q2879042) (← links)
- Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (Q3067762) (← links)
- MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (Q3560083) (← links)
- EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (Q3580186) (← links)
- Displaced Diffusion as an Approximation of the Constant Elasticity of Variance (Q3652697) (← links)
- Calibrating a market model with stochastic volatility to commodity and interest rate risk (Q4555116) (← links)
- New Approximations in Local Volatility Models (Q4561938) (← links)
- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach (Q4586316) (← links)
- MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS (Q5193007) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)