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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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Stochastic control for asset management
Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69
Persistent link: https://www.econbiz.de/10010240225
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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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
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Measurement of interest rates using a convex optimization model
Blomvall, Jörgen - In: European journal of operational research : EJOR 256 (2017) 1, pp. 308-316
Persistent link: https://www.econbiz.de/10011611272
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Mathematical pseudo-completion of the BGM model
Yasuoka, Takashi - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 375-401
Persistent link: https://www.econbiz.de/10001584358
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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270