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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

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

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

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

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

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

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

bounds for cash streams can be very wide or very close. Arbitrage bounds are a special case of our general valuation bounds … valuation bounds under the linear higher order conditions on the term structure generalize arbitrage bounds and provide a … sharper method when the arbitrage principle is too weak. -- linear programming ; arbitrage ; term structure of interest rates …

Persistent link: https://www.econbiz.de/10009579185

Looking for arbitrage or term structures in frictional markets

Li, Zhongfei; Ng, Kai-Wang - In: Internet and network economics : first international …, (pp. 612-621). 2005

Persistent link: https://www.econbiz.de/10003276794

Using the Black-Derman-Toy interest rate model for portfolio optimization

Weissensteiner, Alex - In: European journal of operational research : EJOR 202 (2010) 1, pp. 175-181

Persistent link: https://www.econbiz.de/10003960067

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161