Philip Heymans Alle 15
Hellerup, 2900
Denmark
Saxo Bank
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Option pricing, implicit finite difference
Option pricing, volatility smiles
Yield curve models, stochastic volatility, Markov property
Markovian HJM Models, Bermudan Swaption Pricing
Stochastic local volatility, finite difference solution, calibration, simulation
Rough Volatility, Short Maturity Expansion, SABR, ZABR
Option pricing, Barrier options, SABR, ZABR
cash, nominal interest rates, zero lower bound, monetary policy, perpetual claims