Tim Dun

ANZ Investment Bank

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 40,436

SSRN RANKINGS

Top 40,436

in Total Papers Downloads

1,662

SSRN CITATIONS

2

CROSSREF CITATIONS

0

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 862 (39,220)
Citation 1

Abstract:

Loading...

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 800 (43,410)
Citation 1

Abstract:

Loading...