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Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Di Persio, Luca; Gugole, Nicola - In: New methods in fixed income modeling : fixed income modeling, (pp. 61-83). 2018
Persistent link: https://www.econbiz.de/10012011579
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Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020
Persistent link: https://www.econbiz.de/10012171315
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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...
Persistent link: https://www.econbiz.de/10012175590
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Extension of SABR Libor Market Model to handle negative interest rates
Xiong, Jie; Deng, Geng; Wang, Xindong - In: Quantitative finance and economics 4 (2020) 1, pp. 148-171
Persistent link: https://www.econbiz.de/10012176741
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Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives
Dec, Marcin - In: Bank i kredyt 50 (2019) 2, pp. 107-148
Persistent link: https://www.econbiz.de/10012155020
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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
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Valuation of certain CMS spreads
Wu, Ping; Elliott, Robert J. - In: Financial markets and portfolio management 31 (2017) 4, pp. 445-467
Persistent link: https://www.econbiz.de/10011944624
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Bond and option pricing for interest rate model with clustering effects
Zhang, Xin; Xiong, Jie; Shen, Yang - In: Quantitative finance 18 (2018) 6, pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 27 (2017) 2, pp. 30-36
Persistent link: https://www.econbiz.de/10011803731