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Swap rate à la stock : Bermudan swaptions made easy

Gatarek, Dariusz; Jabłecki, Juliusz - In: Options - 45 years since the publication of the …, (pp. 393-412). 2023

Persistent link: https://www.econbiz.de/10014366688

A nonparametric local volatility model for swaptions smile

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62

Persistent link: https://www.econbiz.de/10011860899

Bermudan swaption model risk analysis : a local volatility approach

Jabłecki, Juliusz - In: The journal of computational finance 22 (2018) 2, pp. 101-131

Persistent link: https://www.econbiz.de/10011976669

Optimal stopping in Hilbert spaces and pricing of American options

Gatarek, Dariusz; Świȩch, Andrzej - In: Mathematical methods of operations research 50 (1999) 1, pp. 135-147

Persistent link: https://www.econbiz.de/10001418491

The market model of interest rate dynamics

Brace, Alan - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 127-155

Persistent link: https://www.econbiz.de/10001220280

Managing portfolio of options

Gatarek, Dariusz - In: Soft computing for risk evaluation and management : …, (pp. 501-514). 2013

Persistent link: https://www.econbiz.de/10010188101

Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...

Persistent link: https://www.econbiz.de/10010528411