Generic market models

DOI10.1007/s00780-006-0023-3zbMath1126.91031OpenAlexW2170270831MaRDI QIDQ881416

Raoul Pietersz, Marcel van Regenmortel

Publication date: 29 May 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0023-3

zbMATH Keywords

Bermudan swaptionsconstant maturity swapdrift termsgeneric market model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

THEORY AND CALIBRATION OF SWAP MARKET MODELS, ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES, Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions, Negative Libor rates in the swap market model, PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS, A comparison of single factor Markov-functional and multi factor market models, Analytical approximations for prices of swap rate dependent embedded options in insurance products, Effective Implementation of Generic Market Models

Cites Work

• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• The Market Model of Interest Rate Dynamics
• Valuing American Options by Simulation: A Simple Least-Squares Approach
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