Efficient methods for valuing interest rate derivatives
The monograph is intended to be a ``guidebook in the world of bond market models, i.e. of term structure of interest rates and their applications to pricing of contingent claims in such markets. Its first part is based on the author's PhD thesis. It contains a brief description of standard models (Vasicek, Ho-Lee, Hull-White, HJM, affine and squared Guassian). The second part deals with recently developed classes of so called market rate models which takes real market interest rates like LIBOR or swap rates as a basis for modeling (Brace-Gatarek-Musiela, Jamshidian, Hunt-Kennedy-Pelsser etc.). Unlike the classical models enjoying a rich analytical structure, they are rather awkward, being a combination of discrete and continuous-time setting. Their advantage is to fit market prices perfectly and to provide reliable formulae for pricing various exotic instruments. This explains a great interest attracted by these models. The exposition gives a lot of information about calibration methodology, numerical methods and pricing results. On the other hand, the reader should take care that the book have nothing common with mathematics: no rigorous formulations or proofs. Unfortunately, even the basic concepts (like arbitrage, equivalent martingale measure, Girsanov transform) are exposed in a very simplified form far from being correct: the ``theorems may hurt a mathematical reader.
- Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model
- Random field forward interest rate models, market price of risk and their statistics
- Pricing and hedging guaranteed annuity options via static option replication.
- Pricing cross-currency interest rate swaps under the Lévy market model
- Forward interest rate curves in discrete time settings driven by random fields
- Option pricing with Legendre polynomials
- Simulating Bermudan interest rate derivatives
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile
- Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
- A direct LU solver for pricing American bond options under Hull-White model
- Pricing equity swaps in an economy with jumps
- scientific article; zbMATH DE number 5305363 (Why is no real title available?)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- A novel Monte Carlo approach to hybrid local volatility models
- Eurodollar futures pricing in log-normal interest rate models in discrete time
- Expansion formulas for European quanto options in a local volatility FX-LIBOR model
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- The Lévy Swap Market Model
- A hybrid commodity and interest rate market model
- A numerical method for pricing spread options on LIBOR rates with a PDE model
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- Cross-currency basis swaps referencing backward-looking rates
- Polynomial algorithms for pricing path-dependent interest rate instruments
- Stochastic elasticity of variance with stochastic interest rates
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
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