A Black–Scholes user's guide to the Bachelier model
To cope with the negative oil futures price caused by the COVID–19 recession, global
commodity futures exchanges temporarily switched the option model from Black–Scholes to …
commodity futures exchanges temporarily switched the option model from Black–Scholes to …
[PDF][PDF] Effects of Valuation Model on RMBS Investment
H Kasari, A Kaji, J Kataoka - 2005 - Citeseer
Residential mortgage-backed Housing Loan Corporation securities (RMBS) carry a
conditional prepayment option which straight bonds do not. Therefore, investors need some …
conditional prepayment option which straight bonds do not. Therefore, investors need some …
[PDF][PDF] モデルの差異が RMBS 評価に及ぼす影響
笠利宏， 鍛治篤， 片岡淳 - 証券アナリストジャーナル= Securities analysts …, 2004 - saa.or.jp
片岡 淳 (かたおか じゅん) 1990 年慶應義塾大学大学院理工学研究科修士課程修了,
同年安田信託銀行入社. 三菱総合研究所, DKFTB 年金研究所を経て, 2000 年 10 …
同年安田信託銀行入社. 三菱総合研究所, DKFTB 年金研究所を経て, 2000 年 10 …
[BOOK][B] Implied volatilities of caps: a Gaussian approach
F Angelini, S Herzel - 2005 - researchgate.net
Implied volatilities of interest rate derivatives present some distinctive features, like the
inverse relation with the underlying rates and the humped or decreasing shape of their term …
inverse relation with the underlying rates and the humped or decreasing shape of their term …