In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...

In this paper, we introduce an extension to the LIBOR Market model that is suitable to incorporate both sudden market shocks as well as changes in the overall economic climate into the interest rate dynamics. This is achieved by substituting the simple diffusion process of the original LIBOR...

In this paper, we show how to calculate the price of zero-coupon bonds for many Gaussian and Levy one-factor and multi-factor models of r(t) using change of time method. These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977), Cox-Ingersoll-Ross (1985), continuous-time...