Sander Willems

Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

6

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SSRN CITATIONS

7

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

SABR Smiles for RFR Caplets

Number of pages: 19 Posted: 14 Apr 2020 Last Revised: 14 Aug 2020
Sander Willems
Ecole Polytechnique Fédérale de Lausanne
Downloads 848 (35,414)
Citation 2

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RFR, IBOR Replacement, Interest Rate Cap Floor, SABR

A Term Structure Model for Dividends and Interest Rates

Swiss Finance Institute Research Paper No. 17-52, Forthcoming in Mathematical Finance
Number of pages: 40 Posted: 14 Aug 2017 Last Revised: 26 May 2020
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 427 (84,605)
Citation 1

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Dividend derivatives, interest rates, polynomial jump-diffusion, term structure, moment-based option pricing

A Term Structure Model for Dividends and Interest Rates

Mathematical Finance, Vol. 30, Issue 4, pp. 1461-1496, 2020
Number of pages: 36 Posted: 07 Oct 2020
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
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dividend derivatives, interest rates, moment‐based option pricing, polynomial jump‐diffusion, term structure

3.

Exact Smooth Term-Structure Estimation

SIAM Journal on Financial Mathematics, Forthcoming, Swiss Finance Institute Research Paper No. 16-38
Number of pages: 30 Posted: 14 Jun 2016 Last Revised: 13 Aug 2018
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 271 (140,948)
Citation 1

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Bootstrap, discount curve, forward curve, splines, term-structure estimation

4.

A Lognormal Type Stochastic Volatility Model With Quadratic Drift

Number of pages: 26 Posted: 18 Jul 2019
Peter Carr and Sander Willems
New York University (NYU) - Finance and Risk Engineering Department and Ecole Polytechnique Fédérale de Lausanne
Downloads 176 (211,563)
Citation 1

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5.

Linear Stochastic Dividend Model

Number of pages: 18 Posted: 16 Aug 2019 Last Revised: 26 Aug 2019
Sander Willems
Ecole Polytechnique Fédérale de Lausanne
Downloads 106 (313,556)
Citation 2

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dividend derivatives, term-structure models, derivative pricing, polynomial processes

6.

Asian Option Pricing with Orthogonal Polynomials

Swiss Finance Institute Research Paper No. 18-09
Number of pages: 29 Posted: 06 Feb 2018 Last Revised: 18 Sep 2018
Sander Willems
Ecole Polytechnique Fédérale de Lausanne
Downloads 101 (323,839)
Citation 5

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Asian Option, Option Pricing, Orthogonal Polynomials