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Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
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Shiraya, Kenichiro, Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-737
全国の図書館
  • 件名...r Market Model Approximation Formula

A General Computation Scheme for a High-Order Asymptotic Expansion Method

A General Computation Scheme for a High-Order Asymptotic Expansion Method
紙文書・図像類
Takahashi, Akihiko, Takehara, Kohta, Toda, Masashi日本経済国際共同センター2011-02Discussion paper series. CIRJE-FCIRJE-F-787
全国の図書館
  • 件名...iavin Calculus Approximation Formula Stochastic Volatility λ-SABR ...

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme
紙文書・図像類
Takehara, Kohta, Takahashi, Akihiko, Toda, Masashi日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-728
全国の図書館
  • 件名...iavin Calculus Approximation Formula Stochastic Volatility λ-SABR ...

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