Pages that link to "Item:Q4372046"
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The following pages link to The Market Model of Interest Rate Dynamics (Q4372046):
Displayed 50 items.
- A jump-diffusion Libor model and its robust calibration (Q3005814) (← links)
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (Q3005816) (← links)
- CORRELATION ANALYSIS IN THE LIBOR AND SWAP MARKET MODEL (Q3022052) (← links)
- A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE (Q3022072) (← links)
- Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options (Q3063876) (← links)
- Modelling and management of mortality risk: a review (Q3077713) (← links)
- THE DOTHAN PRICING MODEL REVISITED (Q3084606) (← links)
- MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL (Q3087880) (← links)
- NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (Q3100747) (← links)
- WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES (Q3107933) (← links)
- Interest Rate Derivatives Pricing with Volatility Smile (Q3112457) (← links)
- Monte Carlo construction of hedging strategies against multi-asset European claims (Q3148777) (← links)
- On swap rate dynamics: to freeze or not to freeze? (Q3174922) (← links)
- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
- On the distributional distance between the lognormal LIBOR and swap market models (Q3375384) (← links)
- On the valuation of compositions in Lévy term structure models (Q3404105) (← links)
- Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826) (← links)
- AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET (Q3421828) (← links)
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q3423401) (← links)
- A cross-currency Lévy market model (Q3437405) (← links)
- THEORY AND CALIBRATION OF SWAP MARKET MODELS (Q3446061) (← links)
- Explosive Behavior in the Black–Derman–Toy Model (Q3459746) (← links)
- Fast swaption pricing under the market model with a square-root volatility process (Q3498563) (← links)
- New and robust drift approximations for the LIBOR market model (Q3518382) (← links)
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS (Q3520539) (← links)
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (Q3521602) (← links)
- MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE (Q3523551) (← links)
- MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL (Q3523579) (← links)
- SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL (Q3523595) (← links)
- TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES (Q3553255) (← links)
- MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (Q3560083) (← links)
- PRICING AND CALIBRATION OF A CHOOSER FLEXIBLE CAP (Q3566770) (← links)
- Calibration of stochastic models for interest rate derivatives (Q3625234) (← links)
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (Q3632862) (← links)
- PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS (Q3643590) (← links)
- ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE (Q3655553) (← links)
- Dynamics of Spot, Forward, and Futures Libor Rates (Q4216123) (← links)
- A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (Q4449553) (← links)
- Lognormality of rates and term structure models (Q4487014) (← links)
- A note on the Flesaker-Hughston model of the term structure of interest rates (Q4541544) (← links)
- Models of forward Libor and swap rates (Q4541568) (← links)
- Volatility skews and extensions of the Libor market model (Q4541584) (← links)
- Calibrating a market model with stochastic volatility to commodity and interest rate risk (Q4555116) (← links)
- Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry (Q4560328) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- Yield Curve Smoothing and Residual Variance of Fixed Income Positions (Q4561934) (← links)
- Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942) (← links)
- The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (Q4562477) (← links)
- EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL (Q4571699) (← links)