On the Hull-White model with volatility smile for Valuation Adjustments
By Thomas van der Zwaard, Lech A. Grzelak, Cornelis W. Oosterlee
Rating
1588
Battle Count: 101
Relevance
8/10
Highly relevant for risk management and pricing of interest rate derivatives in quantitative trading strategies
Implementation Complexity
7/10
Requires advanced knowledge of interest rate modeling and numerical methods
Reproducibility
4/5
The paper provides detailed methodology and algorithms, but full code implementation is not provided.
About this paper
Methodology: Randomized Affine Diffusion (RAnD). Problem types: Time Series Forecasting, Risk Management, Derivatives Pricing.
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