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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

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

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

Regime switching in stochastic models of commodity prices : an application to an optimal tree harvesting problem

Chen, Shan; Insley, Margaret - In: Journal of economic dynamics & control 36 (2012) 2, pp. 201-219

Persistent link: https://www.econbiz.de/10009489614

Numerical methods for the quadratic hedging problem in Markov models with jumps

De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67

Persistent link: https://www.econbiz.de/10011442638

Polynomial upper and lower bounds for financial derivative price functions under regime-switching

Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71

Persistent link: https://www.econbiz.de/10011976660

Optimal decision policy for real options under general Markovian dynamics

Cortazar, Gonzalo; Naranjo, Lorenzo; Sainz, Felipe - In: European journal of operational research : EJOR 288 (2021) 2, pp. 634-647

Persistent link: https://www.econbiz.de/10012439274

Option pricing under regime switching : integration over simplexes method

Jang, Bong-Gyu; Tae, Hyeon-Wuk - In: Finance research letters 24 (2018), pp. 301-312

Persistent link: https://www.econbiz.de/10011982658