The Swap Market Model with Local Stochastic Volatility
Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. In this thesis, using spot starting swaps, the goal is to build a swap m...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2019
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-249561 |