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Inference for interest rate models using Milstein’s approximation

Koulis, Theodoro; Thavaneswaran, Aera - In: Journal of mathematical finance 3 (2013) 1, pp. 110-118

Persistent link: https://www.econbiz.de/10010240817

Evaluating callable and putable bonds : an eigenfunction expansion approach

Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908

Persistent link: https://www.econbiz.de/10009701917

Linearized Hamiltonian of the LIBOR market model : analytical and empirical results

Tang, Pan; Baaquie, Belal E.; Du, Xin; Zhang, Ying - In: Applied economics 48 (2016) 10/12, pp. 878-891

Persistent link: https://www.econbiz.de/10011432758

A unified market model for swaptions and constant maturity swaps

Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10012652680

Markovian Projection for the Local Stochastic Volatility Libor Market Model

Tsuchiya, Osamu - 2015

A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based on the Log Normal process is introduced. In this approximation, the Markovian Projection is fitted to the CEV model rather than to Displaced Diffusion. The relationship with a...

Persistent link: https://www.econbiz.de/10013022212

A flexible matrix Libor model with smiles

Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793

Persistent link: https://www.econbiz.de/10009726178

Pricing bond options under a Markovian regime-switching Hull-White model

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940

Persistent link: https://www.econbiz.de/10009710001

Rating based Lévy Libor model

Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626

Persistent link: https://www.econbiz.de/10010187684

The Markov-Switching Jump Diffusion Libor Market Model

Borchert, Lea - 2018

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...

Persistent link: https://www.econbiz.de/10012938239

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138