Coventry CV4 7AL
United Kingdom
University of Warwick - Department of Statistics
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Interest rate derivatives, Markov-functional models, LIBOR market models, Multi-dimensional
Markov-functional, Callable, Interest-rate models
The SABR model, displaced diffusion, stochastic volatility
Interest rate derivatives, stochastic volatility, smile dynamics, historical data, Markov-functional models, LIBOR market models
one-dimensional swap Markov-functional model, Bermudan swaption, correlation, hedging, vega, gamma, parametrization by time and by expiry
Constant Elasticity of Variance, Copula Theory, Interest Rate Models, Local-Volatility LIBOR Market Models, Markov-Functional Models
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