Generic market models

DOI10.1007/S00780-006-0023-3MaRDI QIDQ881416zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 1454625 (Why is no real title available?)
• scientific article; zbMATH DE number 1795852 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Continuous-time term structure models: Forward measure approach
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• 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

Cited in

(8)

• 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
• Negative Libor rates in the swap market model
• 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
• Effective Implementation of Generic Market Models

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