THEORY AND CALIBRATION OF SWAP MARKET MODELS
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Publication:3446061
DOI10.1111/J.1467-9965.2007.00296.XzbMath1278.91074OpenAlexW3125632163MaRDI QIDQ3446061
No author found.
Publication date: 8 June 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:5781
Programming involving graphs or networks (90C35) Applications of graph theory (05C90) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (6)
ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES ⋮ Generic market models ⋮ Fast delta computations in the swap-rate market model ⋮ Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions ⋮ Negative Libor rates in the swap market model ⋮ Effective Implementation of Generic Market Models
Cites Work
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- WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?
- Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
- Interest rate models -- theory and practice
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