ISBN 07340 3554 3An algorithm for computing the drift in the LIBORmarket model with additional idiosynchratic terms is introduced.This algorithm achieves a computational complexity of order equalto the number of common factors times the number of rates. Itis demonstrated that this allows better matching of correlation matrices in reduced-factor models
In this thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the constructio...
We consider the problem of pricing European interest rate derivatives based on the LIBOR Market Mode...
The Libor Market Model (LMM) is an advanced mathematical model used to price interest rate derivati...
We present four new methods for approximating the drift in the LIBOR market model when performing ve...
We present a conceptual approach of deriving parsimonious correlation structures suitable for implem...
The LIBOR Market Model has become one of the most popular models for pricing interest rate products....
We will study the thorny issues around simultaneous calibration of LIBOR models to cap(let) and swap...
The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest r...
The LIBOR Market Model has become one of the most popular models for pricing interest rate products....
This thesis presents a study of LIBOR1 market model calibration. In particular, the study builds on ...
The LIBOR market model is very popular for pricing interest rate derivatives but is known to have se...
© 2010 Dr. Nicholas Andrew DensonThis thesis demonstrates how to compute Greeks accurately and effic...
The Libor Market Model: A Recombining Binomial Tree Methodology We propose an implementation of the ...
Part 12: DATICSInternational audienceWe present a parallel algorithm and its implementation that com...
In this thesis, we extend the LIBOR market model (LMM) by allowing the underlying LIBOR to follow a ...
In this thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the constructio...
We consider the problem of pricing European interest rate derivatives based on the LIBOR Market Mode...
The Libor Market Model (LMM) is an advanced mathematical model used to price interest rate derivati...
We present four new methods for approximating the drift in the LIBOR market model when performing ve...
We present a conceptual approach of deriving parsimonious correlation structures suitable for implem...
The LIBOR Market Model has become one of the most popular models for pricing interest rate products....
We will study the thorny issues around simultaneous calibration of LIBOR models to cap(let) and swap...
The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest r...
The LIBOR Market Model has become one of the most popular models for pricing interest rate products....
This thesis presents a study of LIBOR1 market model calibration. In particular, the study builds on ...
The LIBOR market model is very popular for pricing interest rate derivatives but is known to have se...
© 2010 Dr. Nicholas Andrew DensonThis thesis demonstrates how to compute Greeks accurately and effic...
The Libor Market Model: A Recombining Binomial Tree Methodology We propose an implementation of the ...
Part 12: DATICSInternational audienceWe present a parallel algorithm and its implementation that com...
In this thesis, we extend the LIBOR market model (LMM) by allowing the underlying LIBOR to follow a ...
In this thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the constructio...
We consider the problem of pricing European interest rate derivatives based on the LIBOR Market Mode...
The Libor Market Model (LMM) is an advanced mathematical model used to price interest rate derivati...