Tim Dun

ANZ Investment Bank

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Correlating Market Models

Number of pages: 10 Posted: 24 May 2003
Bruce Choy, Tim Dun and Erik Schlögl
Commonwealth Bank of Australia, ANZ Investment Bank and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 768 (34,088)
Citation 6

Abstract:

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LIBOR Market Models, interest rate term structure, model calibration, swaptions, correlation, implied volatility

2.

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model

Number of pages: 32 Posted: 09 May 2000
University of Technology Sydney (UTS), Quantitative Finance Research Centre, ANZ Investment Bank and The University of Sydney
Downloads 755 (34,896)

Abstract:

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