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An Efficient Lattice Algorithm for the Libor Market Model
Xiao, Tim - 2019
The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice (or tree) approach...
Persistent link: https://www.econbiz.de/10012905831
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An efficient lattice algorithm for the LIBOR market model
Xiao, Tim - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
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Variational Inequalities in Management Science and Finance : Modelling, Analysis, Numerics and Applications
Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - 2024
This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities …
Persistent link: https://www.econbiz.de/10015162691
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Risk, Uncertainty and the Agricultural Firm
Moss, Charles - 2010
model, real options theory, and state-contingent production relationships. Risk, Uncertainty, and the Agricultural Firm …
Persistent link: https://www.econbiz.de/10013143571
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Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364
Persistent link: https://www.econbiz.de/10010437154
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Risk, uncertainty and the agricultural firm
Moss, Charles B. - 2010
Persistent link: https://www.econbiz.de/10003875592
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A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Vilar Zanón, José Luis; Peraita‑Ezcurra, Olivia - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 259-276
Persistent link: https://www.econbiz.de/10012065216
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Higher order forward rate agreements and the smoothness of the term structure
Jaschke, Stefan R. - 1999
Persistent link: https://www.econbiz.de/10001377676
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Risk-management methods for the Libor market model using semidefinite programming
Aspremont, Alexandre d' - In: The journal of computational finance 8 (2004/2005) 4, pp. 77-99
Persistent link: https://www.econbiz.de/10002990531
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A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354
Persistent link: https://www.econbiz.de/10003947179