Linus Kaisajuntti

Stockholm School of Economics - Department of Finance

SE-113 83 Stockholm

Sweden

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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 1,196 (17,589)
Citation 1

Abstract:

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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 297 (107,627)
Citation 2

Abstract:

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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 98 (282,410)

Abstract:

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