Ioannis Rigopoulos on LinkedIn: #deriscope #derivatives #pricing
Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model arXiv:1712.06466v1 [q-fin.PR] 18 Dec 2017
Soft Copy
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How will LIBOR options transition?
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Two Curves One Price
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Short Term Interest Rate Options - Pricing Caps/Floor and Swaption
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