Jianwei Zhu

LPA

Senior Quant

Gro├če Gallusstra├č 9

Frankfurt, 60311

Germany

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 26,951

SSRN RANKINGS

Top 26,951

in Total Papers Downloads

1,689

CITATIONS
Rank 29,872

SSRN RANKINGS

Top 29,872

in Total Papers Citations

13

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 774 (30,662)

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 687 (36,112)
Citation 10

Abstract:

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

3.
Downloads 228 (132,257)
Citation 1

Abstract:

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

4.
Downloads 0 (660,893)
Citation 5

Abstract:

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