A jump-diffusion Libor model and its robust calibration

DOI10.1080/14697680903295176zbMath1214.91117MaRDI QIDQ3005814

Denis Belomestny, John G. M. Schoenmakers

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903295176

zbMATH Keywords

Monte Carlo methods; American options; statistical methods; LIBOR market models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension, The Markov-switching jump diffusion LIBOR market model, Approximate Option Pricing in the Lévy Libor Model, SABR/LIBOR market models: pricing and calibration for some interest rate derivatives, Confidence sets in nonparametric calibration of exponential Lévy models, Calibration of self-decomposable Lévy models, Estimation and Calibration of Lévy Models via Fourier Methods

Cites Work

• Spectral calibration of exponential Lévy models
• LIBOR and swap market models and measures
• Spatial aggregation of local likelihood estimates with applications to classification
• The Market Model of Interest Rate Dynamics
• Robust Libor Modelling and Pricing of Derivative Products
• The Term Structure of Simple Forward Rates with Jump Risk
• Financial Modelling with Jump Processes