Similar Search Results

CMS spread options

Hagan, Patrick S.; Lesniewski, Andrew; Skoufis, G. E.; … - In: Quantitative finance 21 (2021) 11, pp. 1809-1824

Persistent link: https://www.econbiz.de/10012696777

SABR Models for Synthetic FX Rates

Hagan, Patrick S.; Lewsniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2021 (2021) 113, pp. 50-61

Persistent link: https://www.econbiz.de/10012633567

Explicit Pricing of Quadratic Derivatives Under SABR

Hagan, Patrick S.; Lesniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2019 (2019) 103, pp. 40-52

Persistent link: https://www.econbiz.de/10012274288

Convexity Without Replication

Hagan, Patrick S.; Lesniewski, Andrew S.; Skoufis, … - In: Wilmott 2020 (2020) 105, pp. 58-69

Persistent link: https://www.econbiz.de/10012274312

Digital Option Valuation With the SABR Model

Hagan, Patrick S.; Lesniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2020 (2020) 107, pp. 52-69

Persistent link: https://www.econbiz.de/10012274335

Markovian Term Structure Models

Hagan, Patrick; Woodward, Diana E. - Society for Computational Economics - SCE

Persistent link: https://www.econbiz.de/10005706471

Interpolation methods for curve construction

Hagan, Patrick S.; West, Graeme - In: Applied mathematical finance 13 (2006) 2, pp. 89-129

Persistent link: https://www.econbiz.de/10003331417

Approximate formulas for zero-coupon bonds

Tourrucôo, Fabricio; Hagan, Patrick S.; Schleiniger, … - In: Applied mathematical finance 14 (2007) 3, pp. 207-226

Persistent link: https://www.econbiz.de/10003543014

Girsanov, numeraires, and all that

Hagan, Patrick S.; Lesniewski, Andrew - 2022

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis...

Persistent link: https://www.econbiz.de/10013451100

Equivalent black volatilites

Hagen, Patrick S.; Woodward, Diana E. - In: Applied mathematical finance 6 (1999) 3, pp. 147-157

Persistent link: https://www.econbiz.de/10001490687