IR skew

Created over 3 years ago, updated about 2 months ago

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

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

Children

XVA smile models