Generic market models

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

zbMATH Keywords

Bermudan swaptions; constant maturity swap; drift terms; generic market model

Mathematics Subject Classification ID

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
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• 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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