Peter Schuetterle

E.on Energy Trading

Düsseldorf

Germany

SCHOLARLY PAPERS

1

DOWNLOADS

98

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Basket CMS Derivatives in Term Structure Market Models with Stochastic Volatility

Number of pages: 21 Posted: 22 Dec 2012
Joerg Kienitz, Peter Schuetterle and Manuel Wittke
University of Wuppertal - Applied Mathematics, E.on Energy Trading and Deloitte & Touche - Financial Risk Solutions
Downloads 98 (311,828)

Abstract:

Loading...

Libor Market Model, Stochastic Volatility, CMS, Markovian Projection, Parameter Averaging, Spread Options