We consider the distributional difference in forward swap rates from the LIBOR market model (LFM) and the swap market model (LSM), the two fundamental market models for interest-rate derivatives. We explain how the Kullback-Leibler information (KLI) can be used to measure the distance of a given...

We review the general class of analytically tractable asset-price models that was introduced by Brigo and Mercurio (2001a Mathematical Finance—Bachelier Congr. 2000 (Springer Finance) ed H Geman, D B Madan, S R Pliska and A C F Vorst (Berlin: Springer) pp 151-74), where the considered asset...

We propose a flexible framework for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDSs) and European, American and Bermudan CDS options. The default of the underlying reference entity is modelled within a doubly stochastic framework where the default...