PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS

2013 ◽  
Vol 24 (4) ◽  
pp. 762-789 ◽  
Author(s):  
João Pedro Vidal Nunes ◽  
Pedro Miguel Silva Prazeres
Keyword(s):  
Hjm Models

A binomial approximation for two-state Markovian HJM models

2010 ◽  
Vol 14 (1) ◽  
pp. 37-65 ◽  
Author(s):  
Massimo Costabile ◽  
Ivar Massabó ◽  
Emilio Russo
Keyword(s):  
Binomial Approximation ◽  
Hjm Models

Exponential moments for HJM models with jumps

2007 ◽  
Vol 11 (3) ◽  
pp. 429-445 ◽  
Author(s):  
Jacek Jakubowski ◽  
Jerzy Zabczyk
Keyword(s):  
Exponential Moments ◽  
Hjm Models

A note on invariant measures for HJM models

2005 ◽  
Vol 9 (3) ◽  
pp. 389-398 ◽  
Author(s):  
Michael Tehranchi
Keyword(s):  
Invariant Measures ◽  
Hjm Models

Multifactor implied volatility functions for HJM models

2006 ◽  
Vol 26 (8) ◽  
pp. 809-833 ◽  
Author(s):  
I-Doun Kuo ◽  
Dean A. Paxson
Keyword(s):  
Implied Volatility ◽  
Hjm Models

Consistent calibration of HJM models to cap implied volatilities

2005 ◽  
Vol 25 (11) ◽  
pp. 1093-1120 ◽  
Author(s):  
Flavio Angelini ◽  
Stefano Herzel
Keyword(s):  
Hjm Models
Sign in / Sign up

Export Citation Format

Share Document