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

Black formulainterest rate derivativeslognormal pricing modelsterm structure models

Mathematics Subject Classification ID

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

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Cited in

(14)

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

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