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Economy & Finance Financial notes

1. FINANCE NOTES Mike Cliff Current Draft: June 30, 1998 2. Contents 1 Introduction 1 2 Asset Pricing 3 2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . .…

Economy & Finance Stochastic Local Volatility Models: Theory and Implementation

1. Stochastic Local Volatility Models:Theory and ImplementationArtur SeppBank of America Merrill LynchUniversity of Leicester, UKDecember 9, 20101 2. Plan of the presentation1)…

Economy & Finance Volatility derivatives and default risk

1. Volatility derivatives and default riskARTUR SEPPMerrill LynchQuant Congress LondonNovember 14-15, 20071 2. Plan of the presentation1) Heston stochastic volatility model…

Documents A Principal-Component-Based Affine TSM

Electronic copy available at: http://ssrn.com/abstract=2451130 A Principal-Component-Based Affine Term Structure Model R. Rebonato, I Saroka, V Putyatin PIMCO, Oxford University…