Andras Vanyolos

Independent

No Address Available

SCHOLARLY PAPERS

2

DOWNLOADS

225

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Probability Density of the CIR Model

Number of pages: 8 Posted: 13 Oct 2014
Andras Vanyolos, Maxx Cho and Scott Alan Glasgow
Independent, University of Maryland and Brigham Young University
Downloads 196 (156,037)

Abstract:

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Transition density, CIR model, Kolmogorov equation, Quantum Mechanics

2.

Perturbative Solution of the SABR Eikonal Equation

Number of pages: 5 Posted: 09 Jun 2017
Andras Vanyolos
Independent
Downloads 29 (476,106)

Abstract:

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SABR model, implied volatility, eikonal equation, perturbation theory, Z-transform