SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL

DOI10.1142/S0219024901001127zbMATH Open1153.91490OpenAlexW3022044204MaRDI QIDQ3523595FDOQ3523595

Authors: Tim Dun, Geoff Barton, Erik Schlögl 

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901001127

Recommendations

• scientific article; zbMATH DE number 2011659
• Towards a central interest rate model
• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• Models of forward Libor and swap rates
• Arbitrage-free discretization of lognormal forward Libor and swap rate models

zbMATH Keywords

simulationhedgingterm structure of interest rateslognormal forward LIBOR model

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• Changes of numéraire, changes of probability measure and option pricing
• Continuous-time term structure models: Forward measure approach

Cited In (4)

• Weak and strong Taylor methods for numerical solutions of stochastic differential equations
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• On swap rate dynamics: to freeze or not to freeze?
• Efficient long-dated swaption volatility approximation in the forward-LIBOR model

This page was built for publication: SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3523595)