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- W2414310347 abstract "We employ conformal symmetries to provide a generic tractable framework for interest rate modelling. The approach combines calibration flexibility of market models with tractability and computational efficiency of shot rate models. The methodology enables robust calibration to the whole variety of caps and swaptions with various expirations, strikes and tenors. In the same time, low dimensionality enables backward induction allowing efficient valuation of bermudan swaptions without resorting to suboptimal American Monte Carlo." @default.
- W2414310347 created "2016-06-24" @default.
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- W2414310347 date "2016-01-01" @default.
- W2414310347 modified "2023-09-25" @default.
- W2414310347 title "Unspanned Stochastic Volatility & Conformal Symmetry (Presentation Slides)" @default.
- W2414310347 doi "https://doi.org/10.2139/ssrn.2781228" @default.
- W2414310347 hasPublicationYear "2016" @default.
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