2 papers
q-fin.MF2026
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces
Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model…
q-fin.CP2024
Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude o…