Search Results for author:
Found 5 papers, 1 papers with code
SABR smiles for RFR caplets
We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world.
A lognormal type stochastic volatility model with quadratic drift
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function.
Linear Stochastic Dividend Model
In its simplest form, the model features a dividend rate that is mean-reverting around a constant fraction of the stock price.
A Term Structure Model for Dividends and Interest Rates
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment.
Exact Smooth Term-Structure Estimation
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse.
