Multicurve LIBOR market models and drift-free simulation

DOI10.1080/00207160.2016.1247440MaRDI QIDQ3174921zbMATH OpenOpenAlexFDO

Authors M. R. Nogueiras, M. Pou, Carlos Vázquez, J. L. Fernández

Publication date 18 July 2018

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2016.1247440

zbMATH Keywords

drift-free simulationLibor market modelmartingale propertymulticurve environment

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A new parameterization for the drift-free simulation in the Libor market model
• Arbitrage-free discretization of lognormal forward Libor and swap rate models

Cited in

(10)

• A multicurve cross-currency LIBOR market model
• A new simulation approach to the LIBOR market model
• Drift-free simulation methods for pricing cross-market derivatives with LIBOR market model
• The affine LIBOR models
• Multiple stochastic volatility extension of the Libor market model and its implementation
• New and robust drift approximations for the LIBOR market model
• Modern LIBOR market models: using different curves for projecting rates and for discounting
• Multi-curve modelling using trees
• Multi-curve construction. Definition, calibration, implementation and application of rate curves
• A Unified View of LIBOR Models

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