This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from anAsset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, ouremphasis...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quiteextensively by the practitioners for risk-management purposes. The research, as part of...

This paper tests the co-terminal swap market model (SMM) pricing and hedging performance onBermudan swaptions. To our knowledge, the drift for SMM is derived explicitly for the first timehere, and the procedures for calibration and simulation using a collection of forward swap rates arealso...

The recent financial crisis has accentuated the fact that extreme outcomes have been overlookedand not dealt with adequately. While extreme value theories have existed for a long time, themultivariate variant is difficult to handle in the financial markets due to the prevalentheteroskedasticity...