17 citations · 44 across the 5 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.MF2022
Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models
Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for implied volatilities of caplets under the assumption that the short-rate is described by a generic quadratic term-structure model…
q-fin.MF2022★ 2 cited
Optimal times to buy and sell a home
Matthew Lorig, Natchanon Suaysom
We consider a financial market in which the risk-free rate of interest is modeled as a Markov diffusion. We suppose that home prices are set by a representative home-buyer, who can…