Niklas Rodi

Independent

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Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Independent, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, Independent and Independent
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Abstract:

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negative rates, low rates, lognormal volatility, normal volatility, displaced, displacement, normal delta, lognormal delta