no code implementations • 8 Dec 2022 • Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for implied volatilities of caplets under the assumption that the short-rate is described by a generic quadratic term-structure model.
no code implementations • 10 Mar 2022 • Matthew Lorig, Natchanon Suaysom
We also examine, in the case of CIR interest rates, the expected time that the investor waits before buying and then selling a home when following the optimal strategies.
no code implementations • 8 Jun 2021 • Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model.
1 code implementation • 7 Oct 2020 • Anders Andreassen, Shih-Chieh Hsu, Benjamin Nachman, Natchanon Suaysom, Adi Suresh
Histogram-based template fits are the main technique used for estimating parameters of high energy physics Monte Carlo generators.
