Jianwei Zhu

LPA

Senior Quant

Gro├če Gallusstra├č 9

Frankfurt, 60311

Germany

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 29,368

SSRN RANKINGS

Top 29,368

in Total Papers Downloads

1,703

SSRN CITATIONS
Rank 42,479

SSRN RANKINGS

Top 42,479

in Total Papers Citations

4

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.

Generalized Swap Market Model and the Valuation of Interest Rate Derivatives

Number of pages: 15 Posted: 11 Nov 2007
Jianwei Zhu
LPA
Downloads 775 (33,761)

Abstract:

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Swap Market Model, Libor Market Model, Numeraire change, Swaptions, CMS

2.

An Extended Libor Market Model With Nested Stochastic Volatility Dynamics

Number of pages: 31 Posted: 07 Jan 2007
Jianwei Zhu
LPA
Downloads 693 (39,318)
Citation 10

Abstract:

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Libor Market Model, Stochastic Volatility, Characteristic Function, Pricinple Component, Caps, Swaptions

3.
Downloads 235 (140,034)
Citation 2

Abstract:

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Option Pricing, Piecewise-constant, Stochastic Volatility Model, Jump Model, Regime-Switching, FX Options

4.
Downloads 0 (712,633)
Citation 5

Abstract:

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Simulation, Stochastic volatility, Heston model, Mean-reverting squared root process, Mean-reverting Ornstein-Uhlenbeck process, Option prices