On the Hull-White model with volatility smile for Valuation Adjustments

By Thomas van der Zwaard, Lech A. Grzelak, Cornelis W. Oosterlee

Published 2024-03-21

Everscope rating

1594.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Randomized Affine Diffusion (RAnD). Problem types: Time Series Forecasting, Risk Management, Derivatives Pricing.

arXiv:2403.14841 · Paper rankings

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