SABR/LIBOR market models: pricing and calibration for some interest rate derivatives

DOI10.1016/j.amc.2014.05.017zbMath1335.91093OpenAlexW2022524501MaRDI QIDQ279498

Ana M. Ferreiro, José A. García-Rodríguez, José G. López-Salas, Carlos Vázquez

Publication date: 28 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.05.017

zbMATH Keywords

calibrationCUDAGPUsparallel simulated annealingSABR/LIBOR market models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model ⋮ Global optimization for data assimilation in landslide tsunami models ⋮ PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique

Cites Work

• Optimization by Simulated Annealing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• A high-performance, portable implementation of the MPI message passing interface standard
• Interest rate models -- theory and practice. With smile, inflation and credit
• LIBOR and swap market models and measures
• Numerical solution of jump-diffusion LIBOR market models
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
• An efficient implementation of parallel simulated annealing algorithm in GPUs
• The Lévy LIBOR model
• LIBOR market model with stochastic volatility
• A jump-diffusion Libor model and its robust calibration
• Linking caplets and swaptions prices in the LMM-SABR model
• The Market Model of Interest Rate Dynamics
• Volatility skews and extensions of the Libor market model
• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• The Term Structure of Simple Forward Rates with Jump Risk
• Stochastic Volatility Model with Time‐dependent Skew
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous