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Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
Lech A. Grzelak
Mathematical Modeling
Sub Mathematical Modeling
Rabobank
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Dive into the research topics of 'Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities'. Together they form a unique fingerprint.
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Keyphrases
Implied Volatility
100%
Model Analytics
100%
Short Rate Model
100%
Hull-White Model
50%
Model Calibration
25%
Calibration Method
25%
Volatility
25%
Process Rate
25%
Analyticity
25%
Enabling Control
25%
Extra Degree of Freedom
25%
Heath-Jarrow-Morton Framework
25%
Swaptions
25%
Diffusion Method
25%
Short Rate
25%
Affine Diffusions
25%
Local Volatility
25%
Arbitrage Conditions
25%
Mathematics
Implied Volatility
100%
Analyticity
25%
Almost Perfect
25%
Arbitrage
25%
Stochastics
25%
Degree of Freedom
25%
Economics, Econometrics and Finance
Volatility
100%
Price
16%
Arbitrage
16%