Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
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Cited by:
- Felix L. Wolf & Griselda Deelstra & Lech A. Grzelak, 2024. "Consistent asset modelling with random coefficients and switches between regimes," Papers 2401.09955, arXiv.org, revised Apr 2024.
- T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2024. "On the Hull-White model with volatility smile for Valuation Adjustments," Papers 2403.14841, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2022-12-19 (Risk Management)
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