Peter Caspers – författare

Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. We consider three main classes namely short rate models, instantaneous forward rate models and market models.

Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. We consider three main classes namely short rate models, instantaneous forward rate models and market models.