Modern LIBOR market models: using different curves for projecting rates and for discounting

DOI10.1142/S021902491000570XMaRDI QIDQ3560083zbMATH OpenOpenAlexFDO

Authors Fabio Mercurio

Publication date 19 May 2010

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

Full work available at URL https://doi.org/10.1142/s021902491000570x

zbMATH Keywords

stochastic volatilitybasisinterest ratescredit crisiscapsswaptionsLIBOR market modelmeasure changeanalytical formulasdiscount curveforward curves

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 5827377 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multi-quality model of interest rates
• Interest rate models -- theory and practice. With smile, inflation and credit
• Stochastic Volatility Model with Time‐dependent Skew
• The Lévy LIBOR model
• The Market Model of Interest Rate Dynamics

Cited in

(22)

• A general HJM framework for multiple yield curve modelling
• A multiple curve Lévy swap market model
• Rational multi-curve models with counterparty-risk valuation adjustments
• Empirical analysis and forecasting of multiple yield curves
• A new parameterization for the drift-free simulation in the Libor market model
• Cross Currency Valuation and Hedging in the Multiple Curve Framework
• Heat kernel models for asset pricing
• Multi-curve HJM modelling for risk management
• The multi-curve potential model
• Benchmarking in two price financial markets
• Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
• Multi-curve construction. Definition, calibration, implementation and application of rate curves
• Interbank credit risk modeling with self-exciting jump processes
• Term structure modelling for multiple curves with stochastic discontinuities
• An overview of the valuation of collateralized derivative contracts
• Affine LIBOR models with multiple curves: theory, examples and calibration
• A multiple-curve Lévy forward rate model in a two-price economy
• Valuation and hedging of contracts with funding costs and collateralization
• A brief history of quantitative finance
• Asset pricing theory for two price economies
• Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
• Minimal variance hedging in multicurve interest rate modeling

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