LIBROS DEL AUTOR: simona svoboda greenwood

1 resultados para LIBROS DEL AUTOR: simona svoboda greenwood

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  • LIBOR Market Model
    Simona Svoboda-Greenwood
    The LMM is an effective framework for the pricing of interest rate derivatives, not least because it models observable market quantities. There exist three main techniques for incorporating a volatility smile/skew in any modelling framework: allowing a local volatility function, stochastic volatility and jump dynamics. Here various ways to incorporate smile/skew are studied, lo...
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