Gaspar Montesinos

Area of Methodology, Banco Santander

Quantitative Risk Analyst

Ciudad Financiera Grupo Santander

Avenida de Cantabria s/n

Boadilla del Monte, Madrid 28660

Spain

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

How Does Stochastic Basis Change Mean Reversion? A Study on Bermudan Swaptions

Number of pages: 16 Posted: 14 Dec 2013
Gaspar Montesinos, Eulogio Yustas and Eulogio Yustas
Area of Methodology, Banco Santander and Model Risk Internal Audit, Banco SantanderBanco Santander - Boadilla del Monte
Downloads 168 (313,975)

Abstract:

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Bermudan swaptions, Callable swaps, interest rate model, derivatives, stochastic basis, curves, Libor, Hull & White, mean reversion, measure changes, closed form formulas.