The Market Model of Interest Rate Dynamics
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- Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
- Pricing and hedging guaranteed annuity options via static option replication.
- Accelerating pathwise Greeks in the LIBOR market model
- A unified market model for swaptions and constant maturity swaps
- Studying term structure of SHIBOR with the two-factor Vasicek model
- Interest rate derivatives pricing with volatility smile
- A new simulation approach to the LIBOR market model
- BOND MARKET MODEL
- Calibration of the Libor market model using correlations implied by CMS spread options
- A stochastic control problem with delay arising in a pension fund model
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- A two-factor model for low interest rate regimes
- Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives
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- Volatility skews and extensions of the Libor market model
- Pricing caps with HJM models: the benefits of humped volatility
- A numerical method for pricing spread options on LIBOR rates with a PDE model
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
- A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
- Pricing interest-rate-derivative securities
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
- Towards a central interest rate model
- A general HJM framework for multiple yield curve modelling
- Old and new approaches to LIBOR modeling
- Libor market model under the real-world measure
- A comparison of single factor Markov-functional and multi factor market models
- The Term Structure of Simple Forward Rates with Jump Risk
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- A multiple curve Lévy swap market model
- High-performance financial simulation using randomized quasi-Monte Carlo methods
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS
- Pricing inflation-indexed derivatives
- On a stochastic heat equation with first order fractional noises and applications to finance
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Fast and accurate pricing and hedging of long-dated CMS spread options
- A semi-Markov modulated interest rate model
- A drift-free simulation method for pricing commodity derivatives
- On the information in the interest rate term structure and option prices
- A Weak MLMC Scheme for Lévy-Copula-Driven SDEs with Applications to the Pricing of Credit, Equity and Interest Rate Derivatives
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- Term Structure Models with Parallel and Proportional Shifts
- A new parameterization for the drift-free simulation in the Libor market model
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- Sensitivity with respect to the yield curve: duration in a stochastic setting
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Stochastic string models with continuous semimartingales
- Generic market models
- Analytical pricing of the smile in a forward LIBOR market model
- The waterline tree for separable local-volatility models
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
- Consistency among trading desks
- CDO term structure modelling with Lévy processes and the relation to market models
- Pricing with finite dimensional dependence
- Markov interest rate models
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Efficient Factor Models For Yield Curve Dynamics
- On the distributional distance between the lognormal LIBOR and swap market models
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- A tractable LIBOR model with default risk
- A square root interest rate model fitting discrete initial term structure data
- Negative Libor rates in the swap market model
- THEORY AND CALIBRATION OF SWAP MARKET MODELS
- SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
- Admissibility of generic market models of forward swap rates
- Polynomial algorithms for pricing path-dependent interest rate instruments
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Chaos expansion for the solutions of stochastic differential equations
- An implementation of the HJM model with application to Japanese interest futures
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
- A multicurve cross-currency LIBOR market model
- The affine LIBOR models
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- A chaotic approach to interest rate modelling
- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration
- A competing risks analysis of the duration of federal target funds rates
- Classification of two- and three-factor time-homogeneous separable LMMs
- A class of arbitrage-free log-normal-short-rate two-factor models
- The role of coefficients of a general SPDE on the stability and convergence of a finite difference method
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations
- Adjustable and fixed interest rates mortgage markets modelling
- Fast swaption pricing under the market model with a square-root volatility process
- A result in the Ho and Lee's model
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
- Calibration of stochastic models for interest rate derivatives
- Eurodollar futures pricing in log-normal interest rate models in discrete time
- Valuation of caps and swaptions under a stochastic string model
- The Dothan pricing model revisited
- A Simple Stochastic Rate Model for Rate Equity Hybrid Products
- THE CARMA INTEREST RATE MODEL
- The riskiness of stock versus money market investment with stochastic rates
- Generalizations of Ho-Lee's binomial interest rate model II: randomization
- TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
- New and robust drift approximations for the LIBOR market model
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