A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates

DOI10.1016/J.NAHS.2006.09.003MaRDI QIDQ1003544zbMATH OpenOpenAlexFDO

Authors Luca Vincenzo Ballestra, Graziella Pacelli, Francesco Zirilli

Publication date 4 March 2009

Published in Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nahs.2006.09.003

zbMATH Keywords

asymptotic expansionFokker-Planck equationLIBOR market modelinterest rate derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
• A numerical method for pricing spread options on LIBOR rates with a PDE model
• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
• Towards a central interest rate model

Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Interest rate models -- theory and practice
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• LIBOR and swap market models and measures
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Pricing interest-rate-derivative securities
• Stochastic Volatility Model with Time‐dependent Skew
• The LIBOR model dynamics: Approximations, calibration and diagnostics
• The Market Model of Interest Rate Dynamics
• The pricing of options and corporate liabilities
• Volatility skews and extensions of the Libor market model

Cited in

(9)

• A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
• A numerical method for pricing spread options on LIBOR rates with a PDE model
• Sparse grid combination technique for Hagan SABR/LIBOR market model
• Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
• Accelerating pathwise Greeks in the LIBOR market model
• A new parameterization for the drift-free simulation in the Libor market model
• Numerical solution of jump-diffusion LIBOR market models

This page was built for publication: A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1003544)