Turbo Charging the Cheyette Model-Reference-Cited by-同舟云学术

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Turbo Charging the Cheyette Model

Published:2001 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andreasen Jesper

Publisher

Elsevier BV

Reference11 articles.

1. Volatility Skews and Extensions of the LIBOR Market Model;L Andersen;Applied Mathematical Finance,1998

2. Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?" Working paper;L Andersen;GRFP. Forthcoming in Journal of Financial Economics,2000

3. Generalised Vasicek' Models of the Term Structure;S Babbs;Applied Stochastic Models and Data Analysis,1993

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bibliography;Numerical Methods in Computational Finance;2021-03-22

2. Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme;Quantitative Finance;2021-02-04

3. Bermudan swaption model risk analysis: a local volatility approach;Journal of Computational Finance;2018

4. A nonparametric local volatility model for swaptions smile;The Journal of Computational Finance;2017

5. Bibliography;Finite Difference Methods in Financial Engineering;2013-04-15

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