Narrow search
Showing 1 - 10 of 15
Cover Image
Robust libor modelling and pricing of derivative products
Schoenmakers, John - 2005
Persistent link: https://www.econbiz.de/10001984160
Cover Image
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2002
Persistent link: https://www.econbiz.de/10015209239
Cover Image
Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - 2011
Persistent link: https://www.econbiz.de/10009152332
Cover Image
Libor model with expiry-wise stochastic volatility and displacement
Ladkau, Marcel; Schoenmakers, John; Zhang, Jianing - In: International Journal of Portfolio Analysis and Management 1 (2013) 3, pp. 224-249
Persistent link: https://www.econbiz.de/10010190489
Cover Image
Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Cover Image
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
Cover Image
A jump-diffusion Libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003324469
Cover Image
Pricing CMS spreads in the Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2008
Persistent link: https://www.econbiz.de/10003809706
Cover Image
A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...
Persistent link: https://www.econbiz.de/10003635097