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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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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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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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Fast and accurate Greeks for the LIBOR market model
Denson, Nick; Joshi, Mark S. - In: The journal of computational finance 14 (2010/11) 4, pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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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
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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 simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10011480695