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Interest rate swaps
Wei, Bin; Yue, Vivian Z. - In: Research handbook of financial markets, (pp. 407-428). 2023
Persistent link: https://www.econbiz.de/10014331087
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Pricing of interest rate contingent claims : implementing a simulation approach
Miltersen, Kristian R. - In: The journal of computational finance 1 (1998) 3, pp. 7-62
Persistent link: https://www.econbiz.de/10001632703
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Correlating market models
Choy, Bruce; Dun, Tim; Schlogl, Erik - 2003
Persistent link: https://www.econbiz.de/10002250905
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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
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A pricing kernel approach to valuing options on interest rate futures
Liu, Xiaoquan; Kuo, Jing-Ming; Coakley, Jerry - In: The European journal of finance 21 (2015) 1/3, pp. 93-110
Persistent link: https://www.econbiz.de/10010519972
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The manipulation of LIBOR and related interest rates
Braml, Harald - In: Studies in economics and finance 33 (2016) 1, pp. 106-125
Persistent link: https://www.econbiz.de/10011718729
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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Efficient and Exact Simulation of the Gaussian Affine Interest Rate Models (with Application to the Hull White Model and G2++ Model)
Ostrovski, Vladimir - 2018
how an efficient and exact Monte Carlo simulation of the Hull White and G2++ interest rates models could be performed …
Persistent link: https://www.econbiz.de/10012935570
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Levy-Driven Libor Models : Modeling and Numerical Analysis
Pidwerbitzka, Eva - 2016
In this survey we discuss different approaches of Libor Market Models with Levy forcing term. We begin with introduction to the Levy processes, and survey main approaches for modeling and numerical analysis of such models
Persistent link: https://www.econbiz.de/10012991481
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On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746717