Add to ORKGThis paper presents a number of new ideas concerned with the implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities used by the market to price European swap options from the volatilities used to price interest rate caps. The approximation is very accurate for the range of market parameters normally encountered and enables swap option volatility skews to be implied from cap volatility skews. It also allows the LIBOR market model to be calibrated to broker quotes on caps and European swap options so that other interest rate derivatives can be valued
Abstract This paper presents a new approximation formula for pricing swaptions and caps/floors under...
Since its initial publication the SABR model has gained widespread use across asset classes and it ...
This paper presents a new approximation formula for pricing swaptions and caps/floors under the Libo...
This paper presents a number of new ideas concerned with the implementation of the LIBOR market mode...
LIBOR market model is the benchmark model for interest rate derivatives. It has been a challenge to ...
This thesis is devoted to the calibration of the lognormal LIBOR Market Model to caplets and swaptio...
This thesis presents a study of LIBOR1 market model calibration. In particular, the study builds on ...
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual...
In this paper we empirically analyze and compare the Libor and Swap Market Models, developed by Brac...
This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular ...
It is commonly observed in the market that implied volatilities of standard European options vary wi...
We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR r...
The purpose of this thesis is to further current knowledge of the Libor Market Model (LMM) in terms ...
© 2016 Informa UK Limited, trading as Taylor & Francis Group. Based on the multi-currency LIBOR Mark...
Interbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or insti...
Abstract This paper presents a new approximation formula for pricing swaptions and caps/floors under...
Since its initial publication the SABR model has gained widespread use across asset classes and it ...
This paper presents a new approximation formula for pricing swaptions and caps/floors under the Libo...
This paper presents a number of new ideas concerned with the implementation of the LIBOR market mode...
LIBOR market model is the benchmark model for interest rate derivatives. It has been a challenge to ...
This thesis is devoted to the calibration of the lognormal LIBOR Market Model to caplets and swaptio...
This thesis presents a study of LIBOR1 market model calibration. In particular, the study builds on ...
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual...
In this paper we empirically analyze and compare the Libor and Swap Market Models, developed by Brac...
This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular ...
It is commonly observed in the market that implied volatilities of standard European options vary wi...
We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR r...
The purpose of this thesis is to further current knowledge of the Libor Market Model (LMM) in terms ...
© 2016 Informa UK Limited, trading as Taylor & Francis Group. Based on the multi-currency LIBOR Mark...
Interbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or insti...
Abstract This paper presents a new approximation formula for pricing swaptions and caps/floors under...
Since its initial publication the SABR model has gained widespread use across asset classes and it ...
This paper presents a new approximation formula for pricing swaptions and caps/floors under the Libo...