Nordre Ringgade 1
Aarhus C, DK-8000
University of Aarhus - School of Business and Social Sciences
in Total Papers Downloads
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Implied Volatility, Realized Volatility
structured products, fair valuation, pricing efficiency, exotic option pricing, cost analysis
Structured products, callable bonds, optimal call strategies, Least-Squares Monte Carlo, G2++ and LIBOR market models.
structured products, callable bonds, optimal call strategies, least-squares Monte Carlo, G2 and LIBOR market models
interest rate derivative, multiple-curve term structure model, Levy process, credit valuation adjustment (CVA), funding
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