Volatile volatilities - When pricing exotic interest rate derivatives calibration of model parameters to vanilla cap or swaption prices can be especially time-consuming. Here, the authors develop new approximations that give improved speed without a loss in accuracy.
| Year of publication: |
2002
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|---|---|
| Authors: | Andersen, Leif ; Andreasen, Jesper |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 12, p. 163-172
|