Similar Search Results

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

Arbitrage-Free Rate Interpolation Scheme for Libor Market Model with Smooth Volatility Term Structure

Werpachowski, Roman - 2010

The Libor Market Model describes the evolution of a discrete subset of all interest rates quoted in the market. Generation of the complete yield curve from a simulated set of rates (the so-called "Libor rate interpolation") is one of the basic challenges which are faced by a practical user of...

Persistent link: https://www.econbiz.de/10013134893

The affine LIBOR models

Keller‐Ressel, Martin; Papapantoleon, Antonis; … - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 627-658

Persistent link: https://www.econbiz.de/10010187682

LIBOR market model with multiplicative basis

Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011923001

Implications of implicit credit spread volatilities on interest rate modelling

Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718

Persistent link: https://www.econbiz.de/10011794020

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

One-dimensional Markov-functional models driven by a non-Gaussian driver

Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100

Persistent link: https://www.econbiz.de/10012162379

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Chen, Rui - 2014

We propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then...

Persistent link: https://www.econbiz.de/10013045728

Credit risk modelling and credit derivatives

Schönbucher, Philipp J. - 2000

Persistent link: https://www.econbiz.de/10001449548

A Libor market model with default risk

Schönbucher, Philipp J. - 2001

Persistent link: https://www.econbiz.de/10001598736