Continuous-time term structure models: Forward measure approach
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Publication:1376237
DOI10.1007/S007800050025zbMATH Open0888.60037OpenAlexW2047010984MaRDI QIDQ1376237FDOQ1376237
Authors: M. Musiela, Marek Rutkowski 
Publication date: 11 December 1997
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050025
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- ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
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- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Sensitivity with respect to the yield curve: duration in a stochastic setting
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- Negative Libor rates in the swap market model
- THEORY AND CALIBRATION OF SWAP MARKET MODELS
- SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
- \(L^2\)-theoretical study of the relation between the LIBOR market model and the HJM model
- Admissibility of generic market models of forward swap rates
- Classification of two- and three-factor time-homogeneous separable LMMs
- TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
- New and robust drift approximations for the LIBOR market model
- The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
- The Lévy Swap Market Model
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
- Lognormality of rates and term structure models
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- Some notes about the continuous-in-time financial model
- A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
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- A Unified View of LIBOR Models
- A hybrid commodity and interest rate market model
- Calibrating a market model with stochastic volatility to commodity and interest rate risk
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- Efficient rank reduction of correlation matrices
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- Moment approximations of displaced forward-LIBOR rates with application to swaptions
- The Continuous-Time Ehrenfest Process in Term Structure Modelling
- The equivalent martingale measure conditions in a general model for interest rates
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