# IR skew



- https://quant.stackexchange.com/questions/35635/why-hull-white-2-factor-model-cant-capture-vol-skew

https://www.globalcapital.com/article/28mwuxupwt7bfmpt3hips/derivatives/interest-rate-skews-smiles-2-models

- http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/Generalized%20HW%20model%20and%20Super%20Calibration.pdf

## https://lesniewski.us/papers/lectures/Interest_Rate_and_FX_Models_NYU_2013/Lecture6_2013.pdf

https://mfe.baruch.cuny.edu/wp-content/uploads/2015/06/VolWork1-Andrew.pdf

## [Pricing Credit Value Adjustment for Interest Rate Swaps under the Cheyette model](https://ntnuopen.ntnu.no/ntnu-xmlui/bitstream/handle/11250/2352904/13074_FULLTEXT.pdf?sequence=1)
A Least-Squares Monte Carlo approach
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## Longstaff-Schwartz https://people.math.ethz.ch/~hjfurrer/teaching/LongstaffSchwartzAmericanOptionsLeastSquareMonteCarlo.pdf

https://www.mathworks.com/help/fininst/pricing-swing-options-using-the-longstaff-schwartz-method.html


https://kth.diva-portal.org/smash/get/diva2:1221305/FULLTEXT01.pdf



# Parents

* Interest Rates Models