Mike Felpel

University of Wuppertal

Gaußstraße 20

42097 Wuppertal

Germany

  • University of Wuppertal

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Effective Stochastic Volatility: Applications to ZABR-type Models

Number of pages: 27 Posted: 05 Feb 2020 Last Revised: 20 Jan 2021
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
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Stochastic volatility, SABR, ZABR, Free boundary ZABR, Mean-reverting ZABR, Effective PDE, Approximation formula

2.

Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions

Number of pages: 44
Mike Felpel, Joerg Kienitz and Thomas McWalter
University of Wuppertal, University of Wuppertal - Applied Mathematics and University of Cape Town (UCT)
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Stochastic volatility, SABR, ZABR, Markovian Projection, Effective PDE, Approximation formula