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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
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Libor market models : theory and applications
Glavind Skovmand, David - 2008
Persistent link: https://www.econbiz.de/10003720445
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Non-parametric pricing of interest rates options
Mauad, Roberto Baltieri; Laurini, Márcio Poletti - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 201-240
Persistent link: https://www.econbiz.de/10011538557
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...
Persistent link: https://www.econbiz.de/10011538865
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A Libor market model with default risk
Schönbucher, Philipp J. - 2000 - This version December 2000
the prices of defaultable coupon bonds, asset swap rates and default swap rates for which closed-form solutions are given … formula for options on default swaps is made exact in a modified modelling framework using an analogy to the swap measure, the … default swap measure. …
Persistent link: https://www.econbiz.de/10011539796
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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 3, pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
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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
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273