Linus Kaisajuntti

Stockholm School of Economics - Department of Finance

SE-113 83 Stockholm

Sweden

  • Stockholm School of Economics - Department of Finance

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 46,809

SSRN RANKINGS

Top 46,809

in Total Papers Downloads

1,942

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

An N-Dimensional Markov-Functional Interest Rate Model

Journal of Computational Finance, Vol.17, Issue 1, 2013
Number of pages: 44 Posted: 09 Jan 2008 Last Revised: 17 Nov 2019
Linus Kaisajuntti and Joanne Kennedy
Stockholm School of Economics - Department of Finance and University of Warwick - Department of Statistics
Downloads 1,455 (24,610)
Citation 1

Abstract:

Loading...

Interest rate derivatives, Markov-functional models, LIBOR market models, Multi-dimensional

2.

Stochastic Volatility for Interest Rate Derivatives

Quantitative Finance, Vol.14, Issue 3, 2014
Number of pages: 46 Posted: 26 Jul 2011 Last Revised: 19 Nov 2019
Linus Kaisajuntti and Joanne Kennedy
Stockholm School of Economics - Department of Finance and University of Warwick - Department of Statistics
Downloads 363 (152,077)
Citation 2

Abstract:

Loading...

Interest rate derivatives, stochastic volatility, smile dynamics, historical data, Markov-functional models, LIBOR market models

3.

A Parametric n-Dimensional Markov-Functional Model in the Terminal Measure

Number of pages: 32 Posted: 26 Jul 2011
Linus Kaisajuntti
Stockholm School of Economics - Department of Finance
Downloads 124 (413,033)

Abstract:

Loading...

Interest rate derivatives, Markov-functional models, LIBOR market models, multi-dimensional, terminal measure