This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in particular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves. While this...

This paper develops formulas for pricing caps and swaptions in LIBOR market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (1999) in a framework allowing for very general jump processes. For computational purposes, it is convenient...

<section xml:id="fut21642-sec-0001"> I investigate how local supply shocks in the globally distributed production of commodities are incorporated into Chicago Mercantile Exchange (CME) futures prices. I exploit that the soybean market share of the United States (Argentina) decreased (increased) between 1996 and 2010, and use rain,...</section>

We study the hedging and valuation of generalized variance swaps de¯ned on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is...

The mechanism of aggregation of various sources of fundamental information into a single price is a central question in asset pricing. In this paper I investigate how information about local supply shocks in the globally distributed production of commodities is incorporated into the prices of...

We study the hedging and valuation of generalized variance swaps defined on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is...