CUTTING EDGE - Interest rate derivatives - Rates squared - The author introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas, and explains the advantages of this class of models over alternatives currently available for pricing and risk management of interest rate exotic derivatives.
| Year of publication: |
2009
|
|---|---|
| Authors: | Piterbarg, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 1, p. 100-105
|