Sander Willems

affiliation not provided to SSRN

SCHOLARLY PAPERS

6

DOWNLOADS

883

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

A Term Structure Model for Dividends and Interest Rates

Swiss Finance Institute Research Paper No. 17-52
Number of pages: 40 Posted: 14 Aug 2017 Last Revised: 26 May 2020
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and affiliation not provided to SSRN
Downloads 358 (90,455)

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
Number of pages: 30 Posted: 14 Jun 2016 Last Revised: 13 Aug 2018
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and affiliation not provided to SSRN
Downloads 240 (138,798)
Citation 1

Abstract:

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

3.

SABR Smiles for RFR Caplets

Number of pages: 16 Posted: 14 Apr 2020 Last Revised: 06 May 2020
Sander Willems
affiliation not provided to SSRN
Downloads 89 (316,023)

Abstract:

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RFR, IBOR Replacement, Interest Rate Cap Floor, SABR

4.

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
affiliation not provided to SSRN
Downloads 82 (325,322)
Citation 4

Abstract:

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Asian Option, Option Pricing, Orthogonal Polynomials

5.

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 affiliation not provided to SSRN
Downloads 77 (337,654)

Abstract:

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6.

Linear Stochastic Dividend Model

Number of pages: 18 Posted: 16 Aug 2019 Last Revised: 26 Aug 2019
Sander Willems
affiliation not provided to SSRN
Downloads 37 (471,500)
Citation 2

Abstract:

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