Multi-curve modelling using trees

DOI10.1007/978-3-319-33446-2_9MaRDI QIDQ4689907zbMATH OpenOpenAlexFDO

Authors

Publication date 22 October 2018

Published in Innovations in Derivatives Markets (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-319-33446-2_9

zbMATH Keywords

interest rate treesLIBORmulti-curve modellingOIS

Mathematics Subject Classification ID

Trees (05C05) Applications of graph theory (05C90) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• scientific article; zbMATH DE number 3924012 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
• Valuing American options by simulation: a simple least-squares approach

Cited in

(2)

• Fair prices under a unified lattice approach for interest rate derivatives
• Interest rate trees: extensions and applications

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