Numerical solution of jump-diffusion LIBOR market models

DOI10.1007/s007800200076zbMath1035.60047OpenAlexW2128225456MaRDI QIDQ1424699

Paul Glasserman, Nicolas Merener

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1007/s007800200076

zbMATH Keywords

Monte Carlo simulationmarket modelsmarked point processesinterest rate models

Mathematics Subject Classification ID

Related Items (11)

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives ⋮ Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity ⋮ Consistent Pricing of Options on Leveraged ETFs ⋮ Strong approximations of stochastic differential equations with jumps ⋮ FFT network for interest rate derivatives with Lévy processes ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps ⋮ The Markov-switching jump diffusion LIBOR market model ⋮ Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

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