Department of Mathematics / CLAUDIO ALBANESE AND MANLIO TROVATO Department of Mathematics / Imperial College London / /
Person
Piotr Karasinski / Andrew S.Lesniewski / Nicole El Karoui / CLAUDIO ALBANESE / MANLIO TROVATO / Alexey Kuznetsov / Joanne Kennedy / Diana E.Woodward / Nicolas Merener / Rupert Brotherton-Ratcliffe / Black / /
Position
RT / STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS / Fisher / RT RT rt / STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS / short rate process rt / /
PublishedMedium
Journal of Financial and Quantitative Analysis / Journal of Financial Economics / Financial Analysts Journal / /
A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS CLAUDIO ALBANESE AND MANLIO TROVATO Abstract. It is widely recognized that fixed income exotics should be priced by means of a stochastic volatil