Sander Willems

Ecole Polytechnique Fédérale de Lausanne

Station 5

Odyssea 1.04

1015 Lausanne, CH-1015

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS

669

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

A Term Structure Model for Dividends and Interest Rates

Swiss Finance Institute Research Paper No. 17-52
Number of pages: 42 Posted: 14 Aug 2017 Last Revised: 20 Mar 2019
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 305 (100,679)

Abstract:

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Dividend derivatives, interest rates, polynomial jump-diffusion, term structure, moment-based option pricing

2.

Exact Smooth Term-Structure Estimation

SIAM Journal on Financial Mathematics, Forthcoming, Swiss Finance Institute Research Paper No. 16-38
Number of pages: 30 Posted: 14 Jun 2016 Last Revised: 13 Aug 2018
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 214 (144,808)

Abstract:

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Bootstrap, discount curve, forward curve, splines, term-structure estimation

3.

Asian Option Pricing with Orthogonal Polynomials

Swiss Finance Institute Research Paper No. 18-09
Number of pages: 29 Posted: 06 Feb 2018 Last Revised: 18 Sep 2018
Sander Willems
Ecole Polytechnique Fédérale de Lausanne
Downloads 76 (319,739)
Citation 3

Abstract:

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Asian Option, Option Pricing, Orthogonal Polynomials

4.

A Lognormal Type Stochastic Volatility Model With Quadratic Drift

Number of pages: 26 Posted: 18 Jul 2019
Peter Carr and Sander Willems
New York University (NYU) - Finance and Risk Engineering Department and Ecole Polytechnique Fédérale de Lausanne
Downloads 50 (394,900)

Abstract:

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5.

Linear Stochastic Dividend Model

Number of pages: 18 Posted: 16 Aug 2019 Last Revised: 26 Aug 2019
Sander Willems
Ecole Polytechnique Fédérale de Lausanne
Downloads 24 (507,419)

Abstract:

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dividend derivatives, term-structure models, derivative pricing, polynomial processes