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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions

Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127

Persistent link: https://www.econbiz.de/10011441267

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

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66

Persistent link: https://www.econbiz.de/10014474576

The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility

Oya, Kenjiro - 2018

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

Persistent link: https://www.econbiz.de/10012912383

Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

Malyarenko, Anatoliy - 2010

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...

Persistent link: https://www.econbiz.de/10013144189

Study and Calibration of a LIBOR Forward Swap Model with Stochastic Volatility

Mori, Giorgio - 2013

The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … most common short rate models; it will introduce the Heath-Jarrow-Morton framework and it will describe the LIBOR swap …

Persistent link: https://www.econbiz.de/10013081191

Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model

Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72

Persistent link: https://www.econbiz.de/10009241255

Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube

Leippold, Markus; Strømberg, Jacob - In: Journal of financial economics 111 (2014) 1, pp. 224-250

Persistent link: https://www.econbiz.de/10010255531

Efficient long-dated swaption volatility approximation in the forward-LIBOR model

Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011892565

Fast swaption pricing in Gaussian term structure models

Choi, Jaehyuk; Shin, Sungchan - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 962-982

Persistent link: https://www.econbiz.de/10011583816