Interest rate models -- theory and practice. With smile, inflation and credit

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

The hexanomial lattice for pricing multi-asset options ⋮ SABR/LIBOR market models: pricing and calibration for some interest rate derivatives ⋮ Convexity adjustment for constant maturity swaps in a multi-curve framework ⋮ Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices ⋮ Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes ⋮ Impulse control of pension fund contributions, in a regime switching economy ⋮ A cyclical square-root model for the term structure of interest rates ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Model order reduction for the simulation of parametric interest rate models in financial risk analysis ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ A direct LU solver for pricing American bond options under Hull-White model ⋮ A majorization algorithm for constrained correlation matrix approximation ⋮ A fast calibrating volatility model for option pricing ⋮ Pricing and hedging Asian basket spread options ⋮ A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch ⋮ A least-squares Monte Carlo approach to the estimation of enterprise risk ⋮ Error analysis of a model order reduction framework for financial risk analysis ⋮ Explicit density approximations for local volatility models using heat kernel expansions ⋮ Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ Polynomial chaos expansion approach to interest rate models ⋮ A tractable LIBOR model with default risk ⋮ Multilayer heat equations: application to finance ⋮ Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts ⋮ A scaled version of the double-mean-reverting model for VIX derivatives ⋮ Pricing VXX option with default risk and positive volatility skew ⋮ A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate ⋮ Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ A heat kernel approach to interest rate models ⋮ An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance ⋮ Equity-linked life insurance based on traditional products: the case of select products ⋮ Fast calibration of the libor market model with stochastic volatility and displaced diffusion ⋮ A consistent stochastic model of the term structure of interest rates for multiple tenors ⋮ Pricing bond options in emerging markets: a case study ⋮ Optimal dividends under a stochastic interest rate ⋮ A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks ⋮ Enhancing credit default swap valuation with meshfree methods ⋮ Option pricing under joint dynamics of interest rates, dividends, and stock prices ⋮ Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions ⋮ Discussion on: ``Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products ⋮ A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator ⋮ Optimising dividends and consumption under an exponential CIR as a discount factor ⋮ Backward stochastic differential equations approach to hedging, option pricing, and insurance problems ⋮ Computing survival probabilities based on stochastic differential models ⋮ A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula ⋮ PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products ⋮ Calibration of one-factor and two-factor hull-white models using swaptions ⋮ Yield curve shapes and the asymptotic short rate distribution in affine one-factor models ⋮ On the distribution of extended CIR model ⋮ The impact of quantitative easing on the US term structure of interest rates ⋮ Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility ⋮ A linear algebraic method for pricing temporary life annuities and insurance policies ⋮ Valuation of guaranteed annuity options using a stochastic volatility model for equity prices ⋮ Best estimate calculations of savings contracts by closed formulas: application to the ORSA ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve ⋮ Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching ⋮ Pricing variance swaps under stochastic volatility and stochastic interest rate ⋮ Chapman-Kolmogorov lattice method for derivatives pricing ⋮ Intensity-based framework for surrender modeling in life insurance ⋮ A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision ⋮ Fair prices under a unified lattice approach for interest rate derivatives ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ Recovering default risk from CDS spreads with a nonlinear filter ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems ⋮ Portfolio optimization under convex incentive schemes ⋮ The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence ⋮ Optimal prepayment and default rules for mortgage-backed securities ⋮ Dynamic asset allocation under VaR constraint with stochastic interest rates ⋮ Hedging of guaranteed maturity benefits in unit-linked life insurance ⋮ Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach ⋮ Interest rate term structure modelling ⋮ Calibrating affine stochastic mortality models using term assurance premiums ⋮ Pricing of range accrual swap in the quantum finance Libor market model ⋮ Long-term yield in an affine HJM framework on $S_{d}^{+}$ ⋮ On parallel asset-liability management in life insurance: a forward risk-neutral approach ⋮ Analytical representations for the basic affine jump diffusion ⋮ Prepayment risk in reverse mortgages: an intensity-governed surrender model ⋮ Mixed-asset portfolio allocation under mean-reverting asset returns ⋮ Analytical approximations for prices of swap rate dependent embedded options in insurance products ⋮ Model of neo-Malthusian population anticipating future changes in resources ⋮ On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation ⋮ Measuring profitability of life insurance products under Solvency II ⋮ Multi-year analysis of solvency capital in life insurance ⋮ The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration ⋮ How to handle negative interest rates in a CIR framework ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate ⋮ An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model ⋮ COMPLEX LOGARITHMS IN HESTON-LIKE MODELS ⋮ Extension of stochastic volatility equity models with the Hull–White interest rate process ⋮ Analytical formulas for a local volatility model with stochastic rates ⋮ Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ On swap rate dynamics: to freeze or not to freeze? ⋮ An Explicit Solution for Optimal Investment in Heston Model ⋮ Forecasting of Yield Curves Using Local State Space Reconstruction ⋮ THE MULTI-CURVE POTENTIAL MODEL ⋮ From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ Alternative to beta coefficients in the context of diffusions ⋮ On the minimal number of driving Lévy motions in a multivariate price model ⋮ A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA ⋮ Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ Stochastic Actuarial Valuations in Double-Indexed Pension Annuity Assessment ⋮ Yield Curve Smoothing and Residual Variance of Fixed Income Positions ⋮ The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension ⋮ CONSISTENT YIELD CURVE PREDICTION ⋮ GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS ⋮ Randomised mixture models for pricing kernels ⋮ CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE ⋮ Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach ⋮ EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL ⋮ Return smoothing in life insurance from a client perspective ⋮ HEAT KERNEL MODELS FOR ASSET PRICING ⋮ Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method ⋮ Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate ⋮ A defaultable bond model with cyclical fluctuations in the spread process ⋮ Jacobi stochastic volatility factor for the LIBOR market model ⋮ An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients ⋮ Fair pricing and hedging under small perturbations of the numéraire on a finite probability space ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ Pricing Options with Hybrid Stochastic Volatility Models ⋮ BEHAVIORAL VALUE ADJUSTMENTS ⋮ Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models ⋮ Modelling the Uruguayan Debt Through Gaussians Models ⋮ COHERENT FOREIGN EXCHANGE MARKET MODELS ⋮ FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS ⋮ Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Pricing inflation products with stochastic volatility and stochastic interest rates ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Mortality surface by means of continuous time cohort models ⋮ Long-term behavior of stochastic interest rate models with jumps and memory ⋮ Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL ⋮ A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework ⋮ CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK ⋮ MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING ⋮ Generalized uncorrelated SABR models with a high degree of symmetry ⋮ High order discretization schemes for the CIR process: Application to affine term structure and Heston models ⋮ Transition Density and Simulated Likelihood Estimation for Time-Inhomogeneous Diffusions ⋮ FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance ⋮ Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method ⋮ The Markov-switching jump diffusion LIBOR market model ⋮ Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model ⋮ CVA with Wrong-Way Risk in the Presence of Early Exercise ⋮ Multi-curve Modelling Using Trees ⋮ Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model ⋮ Pricing the credit default swap rate for jump diffusion default intensity processes ⋮ VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE ⋮ ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities ⋮ Projection Methods in Conic Optimization ⋮ Choquet-based European option pricing with stochastic (and fixed) strikes ⋮ A versatile approach for stochastic correlation using hyperbolic functions ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods ⋮ ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE ⋮ Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis ⋮ Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Affine LIBOR models driven by real-valued affine processes ⋮ On the Marshall–Olkin extended distributions ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation ⋮ Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model ⋮ PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS ⋮ ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS ⋮ An equilibrium model of debt and bankruptcy ⋮ Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives ⋮ A closed-form pricing formula for variance swaps under MRG-Vasicek model ⋮ COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION ⋮ EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL ⋮ On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process ⋮ A market-consistent framework for the fair evaluation of insurance contracts under Solvency II ⋮ VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS ⋮ Correlations in Lévy interest rate models ⋮ The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives ⋮ Flexing the default barrier ⋮ Thekth default time distribution and basket default swap pricing ⋮ On the singular limit of solutions to the CIR interest rate model with stochastic volatility ⋮ Stochastic volatility for interest rate derivatives ⋮ The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure ⋮ A Random-Supply Mean Field Game Price Model ⋮ ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE ⋮ SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION ⋮ PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE ⋮ Symmetries of stochastic differential equations using Girsanov transformations ⋮ A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL ⋮ Price impact on term structure ⋮ Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ On One Approach to Mathematical Modeling of Socio-EconomicDevelopment of Regions ⋮ Complexity Reduction for Parametric High Dimensional Models in the Analysis of Financial Risk ⋮ CORRELATION ESTIMATION IN HYBRID SYSTEMS ⋮ Optimal asset allocation under search frictions and stochastic interest rate ⋮ ANALYTIC PRICING OF CoCo BONDS ⋮ Generalized Sν$S^\nu$ spaces ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Risk-neutral valuation of GLWB riders in variable annuities ⋮ On short-term loan interest rate models: a first passage time approach ⋮ A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL ⋮ Cross-subsidizing effects between existing and new policyholders in traditional life insurance ⋮ Nonparametric Bayesian volatility learning under microstructure noise ⋮ A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model ⋮ STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL ⋮ High Order Splitting Methods for SDEs Satisfying a Commutativity Condition ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Sensitivity Ranks by Monte Carlo ⋮ Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk ⋮ On the modelling of nested risk-neutral stochastic processes with applications in insurance ⋮ Market-Consistent Valuation and Funding of Cash Balance Pensions ⋮ A Three-Factor Model for Mortality Modeling ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ MULTI-CURRENCY CREDIT DEFAULT SWAPS ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL ⋮ Rational Models for Inflation-Linked Derivatives ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS ⋮ Machine Learning Vasicek Model Calibration with Gaussian Processes ⋮ Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH ⋮ ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS ⋮ NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES ⋮ THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM ⋮ Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit ⋮ ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM ⋮ The McDonald arcsine distribution: a new model to proportional data ⋮ BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE ⋮ A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method ⋮ Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model ⋮ Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model ⋮ Stochastic Control and Pricing Under Swap Measures ⋮ BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS ⋮ Cash management using multi-stage stochastic programming ⋮ Brownian Path Generation and Polynomial Chaos ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ On the consistency of Sobol indices with respect to stochastic ordering of model parameters ⋮ A sparse grid approach to balance sheet risk measurement ⋮ Pathwise Dynamic Programming ⋮ Parametric Estimation of Ordinary Differential Equations With Orthogonality Conditions ⋮ A Unified View of LIBOR Models ⋮ EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION ⋮ THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION ⋮ ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM ⋮ BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL ⋮ Variance Swap Pricing under Hybrid Jump Model ⋮ A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices ⋮ Speed-up credit exposure calculations for pricing and risk management ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units ⋮ The probability distribution of returns in the exponential Ornstein–Uhlenbeck model ⋮ Rational multi-curve models with counterparty-risk valuation adjustments ⋮ Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation ⋮ MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS ⋮ Generalized $T^p_u$ spaces: On the trail of Calderón and Zygmund ⋮ REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS ⋮ A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS ⋮ Phase transition in a log-normal Markov functional model ⋮ COHERENT CHAOS INTEREST-RATE MODELS ⋮ CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING ⋮ Application of power series approximation techniques to valuation of European style options ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? ⋮ Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs ⋮ AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES ⋮ Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries ⋮ Valuing the distant future under stochastic resettings: the effect on discounting ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate ⋮ Short Rate as a Sum of Two CKLS-Type Processes ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives