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Lutz, Matthias's
Scholarly Papers
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Aggregate Statistics |
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Total
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1,732 |
Total
Citations
4 |
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1.
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Lutz, Matthias
University of Ulm Kiesel, Ruediger
University of Duisburg-Essen - Faculty of Economic Science
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13 Jun 09
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Last Revised:
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16 Feb 10
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1,143
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Libor market model, stochastic volatility, displaced Heston, integrated CIR, Laplace transform, optimal contour, CMS spread options, correlation calibration.
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2.
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Lutz, Matthias
University of Ulm
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05 Jun 10
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Last Revised:
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16 Jun 10
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497
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Libor Market Model, Stochastic Volatility, CMS Spread Options, Correlation Calibration, Correlation Parameterization, Historical Foward Rate Correlations
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3.
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Lutz, Matthias
University of Ulm
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Records 1 -
3
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