Pelsser, A.A.J.

model correlation market matrix option volatility swaption value factor correlation matrix interest method result matrice bermudan swap market model price barrier slope number 0.0 structure level section swap vega libor condition curvature portfolio markov-functional model markov-functional annuity interest rates paper perturbation theorem market models term structure terminal correlation time t table pricing bermudan swaptions delta function change swap rates formula order figure equation finance eigenvector property journal scenario error correlation matrices insurance terminal kunnen bermudan swaption verzekeraar exercise decision method management swap rate barrier options covariance matrix covariance smile approach exercise bucket order k market value rendement perturbation sizes simulation density stock