Piotr Karasinski

European Bank for Reconstruction and Development (EBRD)

One Exchange Square

London, EC2A 2EH

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
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Top 43,348

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SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012
Number of pages: 19 Posted: 23 Sep 2012
Artur Sepp and Piotr Karasinski
Sygnum Bank's Asset Management and European Bank for Reconstruction and Development (EBRD)
Downloads 1,168 (23,068)
Citation 1

Abstract:

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beta stochastic volatility, stochastic volatility, volatility skew, local stochastic volatility

2.

The Black-Karasinski Model: Thirty Years On

C. Turfus. The Black-Karasinski Model: Thirty Years On. Wilmott Magazine, September, 2021
Number of pages: 9 Posted: 19 Apr 2021 Last Revised: 15 Nov 2021
Colin Turfus and Piotr Karasinski
Deutsche Bank and European Bank for Reconstruction and Development (EBRD)
Downloads 209 (185,763)

Abstract:

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short rate model, credit model, Black-Karasinski, perturbation methods, asymptotic expansion, analytic solution, correlation risk