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Volatility transformation in a multi-curve setting applied to caps and swaptions

Maxwell, DanielDivision of Actuarial Science2015

… market framework has transitioned from a single curve framework to what is commonly known as the 'multiple-curve' framework. In addition to this, there is debate as to which curve to use for discounting. This dissertation will initially aim to give a succinct, yet thorough overview of the changes …

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Space Cremona Groups of Transformations of Planar Type

Rempfer, Robert WeirUniversity of Illinois at Urbana-Champaign1937

uiuc Repository record for Space Cremona Groups of Transformations of Planar Type (opens in a new tab)