Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model
The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017
Author(s):
Head of unit-group risk management at Assicurazioni Generali S.p.A.,
Professor of finance at the EDHEC Business School
The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017
| Type: | Academic publication |
|---|---|
| Date: | le 30/09/2017 |
| Research Cluster : | Finance |
| Source : | The Journal of Fixed Income |
See Also
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 10 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
