Dariusz Gatarek

Deloitte & Touche CE

Fredry 6

Warsaw, 00-097

Poland

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 3,373

SSRN RANKINGS

Top 3,373

in Total Papers Downloads

12,013

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (4)

1.

Constant Maturity Swaps, Forward Measure and Libor Market Model

Number of pages: 8 Posted: 14 May 2003
Dariusz Gatarek
Deloitte & Touche CE
Downloads 6,573 (1,052)
Citation 3

Abstract:

Loading...

Constant maturity swaps, forward measure, LIBOR market model

2.

Libor Market Model with Stochastic Volatility

Number of pages: 8 Posted: 04 Mar 2003
Dariusz Gatarek
Deloitte & Touche CE
Downloads 3,347 (3,416)
Citation 4

Abstract:

Loading...

Libor market model, stochastic volatility, calibration

3.

Calibration of the Libor Market Model: Three Prescriptions

Number of pages: 13 Posted: 04 Mar 2003
Dariusz Gatarek
Deloitte & Touche CE
Downloads 1,486 (13,170)
Citation 2

Abstract:

Loading...

Libor market model, calibration

4.

Recombining Trees for One-Dimensional Forward Rate Models

Number of pages: 9 Posted: 07 Mar 2003
Dariusz Gatarek and Jaroslaw Kolakowski
Deloitte & Touche CE and SAS Institute Inc. - Poland
Downloads 607 (47,794)

Abstract:

Loading...

BGM model, HJM model, calibration, Bermudan swaptions, Brady bonds