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

DOI10.1142/S021902491000570XzbMATH Open1206.91086OpenAlexW2011388769MaRDI QIDQ3560083FDOQ3560083

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

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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)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Interest rate models -- theory and practice. With smile, inflation and credit
• The Lévy LIBOR model
• The Market Model of Interest Rate Dynamics
• Stochastic Volatility Model with Time‐dependent Skew
• A multi-quality model of interest rates
• Title not available (Why is that?)

Cited In (22)

• A multiple curve Lévy swap market model
• Rational multi-curve models with counterparty-risk valuation adjustments
• A general HJM framework for multiple yield curve modelling
• 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
• Multi-curve HJM modelling for risk management
• Heat kernel models for asset pricing
• The multi-curve potential model
• 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
• Benchmarking in two price financial markets
• Term structure modelling for multiple curves with stochastic discontinuities
• Affine LIBOR models with multiple curves: theory, examples and calibration
• An overview of the valuation of collateralized derivative contracts
• A multiple-curve Lévy forward rate model in a two-price economy
• 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
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• Minimal variance hedging in multicurve interest rate modeling

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