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Information content and market liquidity in the fixed income market : evidence from the swaption market

Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014574914

On the deterministic-shift extended CIR model in a negative interest rate framework

Di Francesco, Marco; Kamm, Kevin - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-26

finds constant maturity swap (CMS) rates very close to Bloomberg's CMS rates. …

Persistent link: https://www.econbiz.de/10013252794

Calibration of the Multi-Currency LIBOR Market Model

Pilz, Kay F. - 2011

This paper presents a method for calibrating a multicurrency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is...

Persistent link: https://www.econbiz.de/10013131311

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Persistent link: https://www.econbiz.de/10013502696

Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model

Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice - In: Review of derivatives research 26 (2023) 2/3, pp. 171-206

Persistent link: https://www.econbiz.de/10014423872

A Unified Market Model for Swaptions and Constant Maturity Swaps

Tee, Chyng Wen - 2019

, and is also able to efficiently price both IRR-settled and swap-settled swaptions, along with CMS products. We use the …

Persistent link: https://www.econbiz.de/10012864266

Valuation of Callable Range Accrual Linked to CMS Spread Under Generalized Swap Market Model

He, Jiecao; Hsieh, Chang-Chieh; Huang, Zi-Wei; Lin, … - 2023

In this paper, we price a widely-used financial instrument, the callable range accrual linked to constant maturity swap … (CMS) spread, with the least square Monte Carlo method (LSMC) under the generalized swap market model (GSMM). This method …, based on the swap rate, does not only provide an intuitive pricing solution, but also captures the characteristics of the …

Persistent link: https://www.econbiz.de/10014352914

Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model

Karlsson, Patrik - 2015

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo...

Persistent link: https://www.econbiz.de/10013022125

Efficient and exact simulation of the Gaussian affine interest rate models

Ostrovski, Vladimir - In: International journal of financial engineering 3 (2016) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011577107

Lognormal random field approximations to LIBOR market models

Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]

(1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by … using direct simulation methods for log-normal random fields. In contrast to the conventional numerical solution of SDE … path-wise comparison of the approximations and give applications to the valuation of the swaption and the trigger swap. …

Persistent link: https://www.econbiz.de/10001544522