Multi-curve modelling using trees

DOI10.1007/978-3-319-33446-2_9zbMATH Open1398.91626OpenAlexW1787023877MaRDI QIDQ4689907FDOQ4689907

Authors:

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_9

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zbMATH Keywords

LIBOROISinterest rate treesmulti-curve modelling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of graph theory (05C90) Trees (05C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Title not available (Why is that?)
• Valuing American options by simulation: a simple least-squares approach
• Interest rate models -- theory and practice. With smile, inflation and credit
• Title not available (Why is that?)
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions

Cited In (2)

• Fair prices under a unified lattice approach for interest rate derivatives
• Interest rate trees: extensions and applications

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