Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

DOI10.1023/A:1013816921237MaRDI QIDQ4530195zbMATH OpenOpenAlexFDO

Authors Frank de Jong, Joost Driessen, Antoon Pelsser

Publication date 30 May 2002

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013816921237

zbMATH Keywords

interest rate derivativesterm structure modelsBlack formulalognormal pricing models

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(14)

• A unified market model for swaptions and constant maturity swaps
• Pricing inflation-indexed derivatives
• On the distributional distance between the lognormal LIBOR and swap market models
• Price discovery in US money market benchmarks: LIBOR vs. SOFR
• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
• IMPLIED KERNEL MODELS
• Pricing of range accrual swap in the quantum finance Libor market model
• Model misspecification analysis for bond options and Markovian hedging strategies
• Study of the dynamics of the interest rate swap using machine learning methods
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
• Pricing rate of return guarantees in regular premium unit linked insurance
• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• An almost Markovian LIBOR market model calibrated to caps and swaptions

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