Matthias Lutz

Barclays

London EC3P 3AH

United Kingdom

SCHOLARLY PAPERS

4

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3,193

CITATIONS
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6

Scholarly Papers (4)

1.

Efficient Pricing of CMS Spread Options in a Stochastic Volatility LMM

Number of pages: 25 Posted: 13 Jun 2009 Last Revised: 16 Feb 2010
Matthias Lutz and Ruediger Kiesel
Barclays and University of Duisburg-Essen - Faculty of Economic Science
Downloads 1,579 (10,424)
Citation 4

Abstract:

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Libor market model, stochastic volatility, displaced Heston, integrated CIR, Laplace transform, optimal contour, CMS spread options, correlation calibration.

2.
Downloads 870 (25,904)
Citation 2

Abstract:

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Libor Market Model, Stochastic Volatility, CMS Spread Options, Correlation Calibration, Correlation Parameterization, Historical Foward Rate Correlations

3.

Two Collars and a Free Lunch

Number of pages: 9 Posted: 07 Nov 2015 Last Revised: 10 Nov 2015
Matthias Lutz
Barclays
Downloads 576 (45,358)

Abstract:

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Cash-settled swaptions, arbitrage, zero-wide collars, cash-adjusted forwards, cash-physical basis, terminal swap-rate models, LTSRM, ETSRM

4.

Fast Rank Reduction of Parametric Forward Rate Correlation Matrices

Number of pages: 10 Posted: 19 Nov 2010
Matthias Lutz
Barclays
Downloads 168 (174,440)

Abstract:

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