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A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
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LIBOR market models in practice
Sidenius, Jakob - In: The journal of computational finance 3 (2000) 3, pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
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Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul; Merener, Nicolas - In: The journal of computational finance 7 (2003) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
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Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
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A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J. - In: The journal of computational finance 6 (2002) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf; Liang, Qian - In: The journal of computational finance 17 (2013/2014) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
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An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414