2 papers
q-fin.PR2025
Berms without Calibration
K. E. Feldman
A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.
q-fin.PR2018
Change of Measure in Midcurve Pricing
K. E. Feldman
We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear…