How Does Stochastic Basis Change Mean Reversion? A Study on Bermudan Swaptions

SSRN Electronic Journal ◽

10.2139/ssrn.2367278 ◽

2013 ◽

Author(s):

Gaspar D. Montesinos ◽

Eulogio Cuesta Yustas

Keyword(s):

Mean Reversion ◽

Stochastic Basis ◽

Basis Change ◽

Bermudan Swaptions

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USING A STOCHASTIC BASIS IN SIGNAL AND IMAGE RECOVERY PROBLEMS

Автометрия ◽

10.15372/aut20170415 ◽

2017 ◽

Keyword(s):

Image Recovery ◽

Stochastic Basis

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Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies

10.2469/dig.v30.n4.778 ◽

2000 ◽

Vol 30 (4) ◽

pp. 64-65

Author(s):

Roger Ignatius

Keyword(s):

Stock Markets ◽

Mean Reversion ◽

Investment Strategies

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Learning and Mean Reversion in Asset Returns

10.2469/dig.v30.n3.725 ◽

2000 ◽

Vol 30 (3) ◽

pp. 56-57

Author(s):

William H. Sackley

Keyword(s):

Mean Reversion ◽

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Nonlinear Mean Reversion in Stock Prices

10.2469/dig.v38.n4.1 ◽

2008 ◽

Vol 38 (4) ◽

pp. 37-38

Author(s):

Michael Kobal

Keyword(s):

Stock Prices ◽

Mean Reversion ◽

Nonlinear Mean Reversion

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Dynamic Mean Reversion Of Stock Prices :, Evidence From Amman Stock Exchange

10.35516/1250-005-001-004 ◽

2018 ◽

pp. 57

Author(s):

ديما وليد حنا الربضي

Keyword(s):

Stock Prices ◽

Stock Exchange ◽

Mean Reversion ◽

Amman Stock Exchange

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Mean Reversion of the Trading Volume

Asian Review of Financial Research ◽

10.37197/arfr.2019.32.2.1 ◽

2019 ◽

Vol 32 (2) ◽

pp. 149-186

Author(s):

Mhin Kang ◽

◽

Joon Chae

Keyword(s):

Trading Volume ◽

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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

The Journal of Computational Finance ◽

10.21314/jcf.2014.290 ◽

2014 ◽

Vol 17 (3) ◽

pp. 87-110 ◽

Author(s):

Ralf Korn ◽

Qian Liang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Market Model ◽

Libor Market Model ◽

Bermudan Swaptions

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Explicit European Swaption Formula in a Separable One-Factor Libor Market Model; Extension to Bond Futures and 2-Bermudan Swaptions

SSRN Electronic Journal ◽

10.2139/ssrn.1089075 ◽

2008 ◽

Author(s):

Marc P. A. Henrard

Keyword(s):

Market Model ◽

Libor Market Model ◽

Model Extension ◽

Bermudan Swaptions ◽

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A Spot Price's Model for Electricity in the Colombian Market Using Markov Chains and Mean Reversion - An Approach for Including the ENSO Effects on Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1753064 ◽

2011 ◽

Author(s):

Gonzalo Diaz-Hoyos

Keyword(s):

Markov Chains ◽

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Super Mean Reversion

SSRN Electronic Journal ◽

10.2139/ssrn.2844642 ◽

2017 ◽

Author(s):

Shlomo Zilca

Keyword(s):

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