The Market Model of Interest Rate Dynamics
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(only showing first 100 items - show all)- An implementation of the HJM model with application to Japanese interest futures
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
- Finite maturity caps and floors on continuous flows
- Chaos expansion for the solutions of stochastic differential equations
- On a general class of one-factor models for the term structure of interest rates
- Volatility of the short rate in the rational lognormal model
- Implied interest rate pricing models
- Alternative models for stock price dynamics.
- Pricing and hedging guaranteed annuity options via static option replication.
- A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives
- An analytically tractable interest rate model with humped volatility
- Stochastic string models with continuous semimartingales
- Studying term structure of SHIBOR with the two-factor Vasicek model
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- Forward rate models with linear volatilities
- Spectral collocation method for stochastic Burgers equation driven by additive noise
- A competing risks analysis of the duration of federal target funds rates
- A chaotic approach to interest rate modelling
- Optimal low-rank approximation to a correlation matrix
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
- Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
- Numerical multi-scaling method to solve the linear stochastic partial differential equations
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- The waterline tree for separable local-volatility models
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Valuation of caps and swaptions under a stochastic string model
- On the risk management of demand deposits: quadratic hedging of interest rate margins
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- A pure-jump mean-reverting short rate model
- Dependence structure between LIBOR rates by copula method
- Interest rate term structure modelling
- Term structure modelling for multiple curves with stochastic discontinuities
- A multicurve cross-currency LIBOR market model
- A new parameterization for the drift-free simulation in the Libor market model
- Pricing with finite dimensional dependence
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Negative Libor rates in the swap market model
- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- A new simulation approach to the LIBOR market model
- A two-factor model for low interest rate regimes
- A semi-Markov modulated interest rate model
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
- Jacobi stochastic volatility factor for the LIBOR market model
- Towards a central interest rate model
- Fast and accurate pricing and hedging of long-dated CMS spread options
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- An equilibrium model of debt and bankruptcy
- Explosive behavior in a log-normal interest rate model
- Libor market model under the real-world measure
- Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
- Rating based Lévy Libor model
- The affine LIBOR models
- A general HJM framework for multiple yield curve modelling
- Parsimonious HJM modelling for multiple yield curve dynamics
- Accelerating pathwise Greeks in the LIBOR market model
- Admissibility of generic market models of forward swap rates
- Classification of two- and three-factor time-homogeneous separable LMMs
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations
- A jump-diffusion Libor model and its robust calibration
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
- Adjustable and fixed interest rates mortgage markets modelling
- CORRELATION ANALYSIS IN THE LIBOR AND SWAP MARKET MODEL
- A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
- Calibration of the Libor market model using correlations implied by CMS spread options
- Modeling and management of mortality risk: a review
- The Dothan pricing model revisited
- Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
- No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
- WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
- Interest rate derivatives pricing with volatility smile
- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- Monte Carlo construction of hedging strategies against multi-asset European claims
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
- On swap rate dynamics: to freeze or not to freeze?
- Affine LIBOR models with multiple curves: theory, examples and calibration
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- On the distributional distance between the lognormal LIBOR and swap market models
- On the valuation of compositions in Lévy term structure models
- Multiple stochastic volatility extension of the Libor market model and its implementation
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
- A cross-currency Lévy market model
- THEORY AND CALIBRATION OF SWAP MARKET MODELS
- Explosive behavior in the Black-Derman-Toy model
- Fast swaption pricing under the market model with a square-root volatility process
- New and robust drift approximations for the LIBOR market model
- Volatility models of the yield curve
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
- MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
- MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL
- SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
- A stochastic monetary policy interest rate model
- Market-Based Interest Rates: Deterministic Volatility Case
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