no code implementations • 9 Apr 2020 • Sander Willems
We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world.
no code implementations • 20 Aug 2019 • Peter Carr, Sander Willems
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.
no code implementations • 16 Aug 2019 • Sander Willems
In its simplest form, the model features a dividend rate that is mean-reverting around a constant fraction of the stock price.
no code implementations • 6 Mar 2018 • Damir Filipović, Sander Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment.
1 code implementation • 13 Jun 2016 • Damir Filipović, Sander Willems
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse.