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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

Deep Learning-Based BSDE Solver for Libor Market Model with Applications to Bermudan Swaption Pricing and Hedging

Wang, Haojie - 2018

implementation the pricing of derivatives with Libor market models is mainly carried out with Monte Carlo simulation. The PDE grid … for American option price. Another complexity arises from applying Monte Carlo simulation is the computation of the … effectively and efficiently. A comparison between Monte Carlo simulation and the new method for pricing vanilla interest rate …

Persistent link: https://www.econbiz.de/10012914649

Effective Markovian Projection : Application to CMS Spread Options and Mid-Curve Swaptions

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas - 2021

Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on modelling the underlying single rates. For flexibility and realism, these rates are often described in the framework of stochastic volatility models. In this paper, we allow rates to be modelled within a...

Persistent link: https://www.econbiz.de/10013236488

Swaptions in Libor Market Model with Local Volatility

Henrard, Marc P. A. - 2010

The Libor Market Model (LMM) describes the evolution of a yield curve through equations for a discrete set of forward rates. In the original version, the rate dynamic was log-normal. The rate dynamic has been extended. The main result presented here is a generic approximation that provides an...

Persistent link: https://www.econbiz.de/10013136313

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

Pricing a Callable Leveraged Constant Maturity Swap Spread Note

Chertok, Daniel L. - 2012

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the … spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future …. The note is priced via Monte Carlo simulation using the current term structure of interest rates and at-the-money implied …

Persistent link: https://www.econbiz.de/10013098211

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

Unifying Variance Swap Term Structures, SPX and VIX Derivatives

Zhao, Bo - 2014

We propose a term structure function, a two-factor variance process and a return process to jointly price SPX and VIX derivatives. The distinctive feature of the variance model is that the factor coefficients are time-varying and they are bonded with the term structure of variance swaps. The...

Persistent link: https://www.econbiz.de/10013066807

Smile Pricing and Hedging Caps and Swaptions in Libor Market Model and Its Simple Extension

Li, Hongzhu - 2013

This paper presents an extensive test of the Libor Market on the Euro Cap and Swaption market. The deterministic LIBOR market model prices OTC cap exactly and prices OTC swaptions with errors well below two basis points. Tests for the hedging performance show that the deterministic LIBOR market...

Persistent link: https://www.econbiz.de/10013071703

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