Ingo Fahrner

Landesbank Baden-Württemberg (LBBW)

Am Hauptbahnhof 2

Stuttgart, 70174

Germany

SCHOLARLY PAPERS

2

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SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (2)

1.

Modern Logarithms for the Heston Model

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 7 Posted: 04 Jan 2007
Ingo Fahrner
Landesbank Baden-Württemberg (LBBW)
Downloads 1,250 (20,579)
Citation 2

Abstract:

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Heston model, branch-cut, Lewis-Lipton formula

2.

Differential Geometry, (m, lambda)-SABR and a Formula by Pierre-Henry Labordere

Number of pages: 18 Posted: 01 Dec 2010
Ingo Fahrner
Landesbank Baden-Württemberg (LBBW)
Downloads 597 (57,417)

Abstract:

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Smile expansion, (m, lambda)-SABR, heat kernel expansion