On The Variance And Skewness Of The Swap Rate In A Stochastic Volatility Interest Rate Model

Author:

Palapies Lars1

Affiliation:

1. Dr. Nagler & Company GmbH, Germany

Publisher

South African Statistical Association (SASA)

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference25 articles.

1. Extended LIBOR market models with stochastic volatility;Andersen L.;Journal of Computational Finance,2005

2. Brigo D. Mercurio F. 2006 Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit Second Springer Berlin

3. Unspanned stochastic volatility and fixed income derivatives pricing;Casassus J.;Journal of Banking & Finance,2005

4. Chen R.-R. Scott L. 2001 Stochastic volatility and jumps in interest rates: An empirical analysis Working Paper Rutgers University and Morgan Stanley 1 35 URL: https://faculty.fordham.edu/rchen/JumpsStochVolPaper.pdf

5. Short communication: On the gaussian-exponential mixture model for pressure coefficients;Cook N. J.;Journal of Wind Engineering and Industrial Aerodynamics,2016

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