Swaptions in Libor Market Model with Local Volatility

2007 ◽  
Author(s):  
Marc P. A. Henrard
Keyword(s):  
Market Model ◽  
Local Volatility ◽  
Libor Market Model

Swaptions in Libor Market Model with local volatility

2010 ◽  
Vol 2 (3) ◽  
pp. 135-154 ◽  
Author(s):  
Marc Henrard
Keyword(s):  
Market Model ◽  
Local Volatility ◽  
Libor Market Model

Comparing Discretization of the LIBOR Market Model in the Spot Measure

2008 ◽  
Author(s):  
Christopher Beveridge ◽  
Nick Denson ◽  
Mark S. Joshi
Keyword(s):  
Market Model ◽  
Libor Market Model
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