Volatility calibration using spline and high dimensional model representation models

JOURNAL ARTICLE published August 2009 in Wilmott Journal

Authors: Balazs Feil | Sergei Kucherenko | Nilay Shah

Comparison of Monte Carlo and Quasi Monte Carlo Sampling Methods in High Dimensional Model Representation

PROCEEDINGS ARTICLE published September 2009 in 2009 First International Conference on Advances in System Simulation

Authors: Balazs Feil | Sergei Kucherenko | Nilay Shah

Cliquet options and volatility models

JOURNAL ARTICLE published December 2002 in Wilmott

Authors: Paul Wilmott

Volatility of Volatility: A Simple Model-Free Motivation

JOURNAL ARTICLE published September 2012 in Wilmott

Authors: Gabriel G. Drimus

Boundary Detection Using Open Spline Curve Based on Mumford-Shah Model

JOURNAL ARTICLE published 7 April 2009 in Acta Automatica Sinica

Authors: Xiao-Mao LI | Lin-Lin ZHU | Yan-Dong TANG

A Spline-High Dimensional Model Representation for SRAM Yield Estimation in High Sigma and High Dimensional Scenarios

JOURNAL ARTICLE published 2021 in IEEE Access

Research funded by National Key Research and Development Program of China (2019YFB6506000915)

Authors: Liang Pang | Shan Shen | Mengyun Yao

Pricing Swaptions Under the Market Model of Interest Rates With Local-Stochastic Volatility Models

JOURNAL ARTICLE published September 2012 in Wilmott

Authors: Kenichiro Shiraya | Akihiko Takahashi | Akira Yamazaki

Libor Local Volatility Model: A New Interest Rate Smile Model

JOURNAL ARTICLE published March 2016 in Wilmott

Authors: Dingqiu Zhu | Dong Qu

Local calibration of separable BGM models and finite difference pricing of Libor and CMS spread based exotics

JOURNAL ARTICLE published April 2009 in Wilmott Journal

Authors: Leslie Ng

Tracker calibration using tetrahedral mesh and tricubic spline models of warp

PROCEEDINGS ARTICLE published in IEEE Virtual Reality 2004

Authors: C.W. Borst

Forward-Start Options in Stochastic Volatility Model

JOURNAL ARTICLE published September 2003 in Wilmott

Authors: Valdimir Lucic

Implied Volatility Formulas for Heston Models

JOURNAL ARTICLE published November 2018 in Wilmott

Authors: Patrick S. Hagan | Andrew S. Lesniewski | Diana E. Woodward

Effective Media Analysis for Stochastic Volatility Models

JOURNAL ARTICLE published January 2018 in Wilmott

Authors: Patrick S. Hagan | Andrew S. Lesniewski | Diana E. Woodward

A note on hedging: restricted but optimal delta hedging, mean, variance, jumps, stochastic volatility, and costs

JOURNAL ARTICLE published June 2009 in Wilmott Journal

Authors: Hyungsok Ahn | Paul Wilmott

Swaptions in Libor Market Model with local volatility

JOURNAL ARTICLE published June 2010 in Wilmott Journal

Authors: Marc Henrard

Analytic Calibration in Andreasen‐Huge SABR Model

JOURNAL ARTICLE published July 2021 in Wilmott

Authors: Konstantin Feldman

Volatility and Variance Swaps for the COGARCH(1,1) Model

JOURNAL ARTICLE published October 2010 in Wilmott Journal

Authors: Anatoliy Swishchuk | Matthew Couch

Trade Unions and Popular Representation: Nigeria and South Africa Compared

BOOK CHAPTER published 2009 in Rethinking Popular Representation

Authors: Björn Beckman

A General Parametrization of Correlation Matrix for a Multidimensional Stochastic Volatility Model

JOURNAL ARTICLE published November 2017 in Wilmott

Authors: Fouad Sahel

Potential future exposure calculations using the BGM model

JOURNAL ARTICLE published August 2009 in Wilmott Journal

Authors: Leslie Ng | Dave Peterson