Add to ORKGAn extended LIBOR forward rate model is derived through what we call the HJM-Lévy framework. The resulting model is a geometric Itô-Lévy process, of which the well known geometric Brownian motion with deterministic volatility is one of many special cases. One specific case of the LIBOR forward rate in the HJM-Lévy framework is a geometric Brownian motion with stochastic volatility. This special case is analyzed and implemented. Two caplet valuation formulas expressed by power series are derived for the model. One for the general geometric Itô-Lévy process, and one for the specific case of a geometric Brownian motion with stochastic volatility
We develop a multi-factor stochastic volatility Libor model with dis-placement, where each individua...
The main result of this thesis shows that for a large class of widely used term structure models the...
Based on a certain notion of "prolific process," we find an explicit expression for the bivariate (t...
Models driven by Lévy processes are attractive because of their greater flexibility compared to clas...
We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR r...
In this paper we extend the standard LIBOR market model to accommodate the pronounced phenomenon of ...
This thesis examines finite dimensional representability of Forward Rate andLIBOR models. A new appr...
main result of this paper is that a martingale evolution can be chosen for LIBOR such that, by appro...
In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiat...
this paper they model the behavior of instantaneous forward rates. The method is both powerful (it c...
The object of this thesis is to study the classical Heath-Jarrow-Morton(HJM) model for interest rate...
LIBOR market model is the benchmark model for interest rate derivatives. It has been a challenge to ...
Interbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or insti...
sented in this paper is only the author’s private opinion. The auther is grateful for the suggestion...
In the first chapter, a new kind of additive process is proposed. Our main goal is to define, charac...
We develop a multi-factor stochastic volatility Libor model with dis-placement, where each individua...
The main result of this thesis shows that for a large class of widely used term structure models the...
Based on a certain notion of "prolific process," we find an explicit expression for the bivariate (t...
Models driven by Lévy processes are attractive because of their greater flexibility compared to clas...
We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR r...
In this paper we extend the standard LIBOR market model to accommodate the pronounced phenomenon of ...
This thesis examines finite dimensional representability of Forward Rate andLIBOR models. A new appr...
main result of this paper is that a martingale evolution can be chosen for LIBOR such that, by appro...
In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiat...
this paper they model the behavior of instantaneous forward rates. The method is both powerful (it c...
The object of this thesis is to study the classical Heath-Jarrow-Morton(HJM) model for interest rate...
LIBOR market model is the benchmark model for interest rate derivatives. It has been a challenge to ...
Interbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or insti...
sented in this paper is only the author’s private opinion. The auther is grateful for the suggestion...
In the first chapter, a new kind of additive process is proposed. Our main goal is to define, charac...
We develop a multi-factor stochastic volatility Libor model with dis-placement, where each individua...
The main result of this thesis shows that for a large class of widely used term structure models the...
Based on a certain notion of "prolific process," we find an explicit expression for the bivariate (t...