Technical paper/Interest rates

• Interest rate markets

Black smirks

Fei Zhou presents a simple stochastic volatility extension of the Black interest rate option pricing model widely used by traders. Using a perturbative expansion in volatility of volatility, he derives modified Black formulas that correctly fit the…

• 01 May 2003

• Infrastructure

The stochastic volatility Libor market model

Interest rates

• 01 Oct 2001

• Infrastructure

The relativity of volatility

Stress testing

• 01 Apr 2001

• Infrastructure

Forward thinking

Forward simulation

• 01 Dec 2000

• Infrastructure

Applying HJM to credit risk

Credit risk

• 01 May 1999