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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137

Persistent link: https://www.econbiz.de/10011639618

Accelerating pathwise Greeks in the LIBOR market model

Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10009624523

Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

Efficient and exact simulation of the Gaussian affine interest rate models

Ostrovski, Vladimir - In: International journal of financial engineering 3 (2016) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011577107

Lognormal random field approximations to LIBOR market models

Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]

(1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by … using direct simulation methods for log-normal random fields. In contrast to the conventional numerical solution of SDE … path-wise comparison of the approximations and give applications to the valuation of the swaption and the trigger swap. …

Persistent link: https://www.econbiz.de/10001544522

Lognormal approximations to Libor market models

Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100

Persistent link: https://www.econbiz.de/10001704745

Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

Amin, Ahsan - 2010

We follow Mercurio's extension of the LIBOR market model with stochastic Basis spreads and model the joint evolution of forward rates belonging to the discount curve and corresponding spreads with FRA rates. We consider Heston stochastic-volatility dynamics and show how to calculate the swaption...

Persistent link: https://www.econbiz.de/10013136298

Real-world scenarios with negative interest rates based on the LIBOR market model

Lopes, Sara Dutra; Vázquez, Carlos - In: Applied mathematical finance 25 (2018) 5/6, pp. 466-482

Persistent link: https://www.econbiz.de/10012129176

LIBOR market model under the real-world measure

Yasuoka, Takashi - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10009780632

Bias correction for bond option greeks via jackknife

Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63

Persistent link: https://www.econbiz.de/10012612919