Stochastic Volatility Corrections for Interest Rate Derivatives
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Cites work
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- An equilibrium characterization of the term structure
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- Financial modeling in a fast mean-reverting stochastic volatility environment
- MEAN-REVERTING STOCHASTIC VOLATILITY
- Singular Perturbations in Option Pricing
Cited in
(37)- A unified framework for pricing credit and equity derivatives
- scientific article; zbMATH DE number 5926129 (Why is no real title available?)
- A remark on a singular perturbation method for option pricing under a stochastic volatility model
- Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
- Multiscale stochastic volatility model for derivatives on futures
- Edgeworth corrections for spot volatility estimator
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
- On a volatility averaging in a two-factor interest rate model
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- Stochastic string models with continuous semimartingales
- Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
- Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- Strategic investment decisions under fast mean-reversion stochastic volatility
- Multiscale Intensity Models for Single Name Credit Derivatives
- RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE
- Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
- Implied volatility of leveraged ETF options
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
- Optimal trading with signals and stochastic price impact
- Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
- Stochastic volatility corrections for bond pricing in the fractional Vasicek model
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- An insurance risk model with stochastic volatility
- Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
- Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
- Asymptotic analysis for one-name credit derivatives
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Turbo warrants under stochastic volatility
- Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
- Stochastic Volatility Effects on Defaultable Bonds
- Default risk in interest rate derivatives with stochastic volatility
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
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