Generic market models
From MaRDI portal
Publication:881416
DOI10.1007/s00780-006-0023-3zbMath1126.91031MaRDI QIDQ881416
Raoul Pietersz, Marcel van Regenmortel
Publication date: 29 May 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-006-0023-3
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Effective Implementation of Generic Market Models, A comparison of single factor Markov-functional and multi factor market models, Analytical approximations for prices of swap rate dependent embedded options in insurance products, Negative Libor rates in the swap market model, ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES, Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions, PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS, THEORY AND CALIBRATION OF SWAP MARKET MODELS
Cites Work
- Continuous-time term structure models: Forward measure approach
- LIBOR and swap market models and measures
- THEORY AND CALIBRATION OF SWAP MARKET MODELS
- The Market Model of Interest Rate Dynamics
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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