A LIBOR Market Model with Stochastic Basis

SSRN Electronic Journal ◽

10.2139/ssrn.1583081 ◽

2010 ◽

Cited By ~ 27

Author(s):

Fabio Mercurio

Keyword(s):

Market Model ◽

Libor Market Model ◽

Stochastic Basis

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Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

SSRN Electronic Journal ◽

10.2139/ssrn.1704415 ◽

2010 ◽

Cited By ~ 4

Author(s):

Ahsan Amin

Keyword(s):

Market Model ◽

Libor Market Model ◽

Stochastic Basis

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Libor Market Model with Stochastic Basis - Calibration Using OIS Yield and Money Market Basis Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2211175 ◽

2013 ◽

Author(s):

Joerg Kienitz

Keyword(s):

Money Market ◽

Market Model ◽

Libor Market Model ◽

Stochastic Basis

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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.305 ◽

2015 ◽

Vol 19 (1) ◽

pp. 1-10 ◽

Cited By ~ 1

Author(s):

Riccardo Rebonato

Keyword(s):

Interest Rate ◽

Market Model ◽

Simple Approximation ◽

Interest Rate Models ◽

No Arbitrage ◽

Libor Market Model

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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

The Journal of Computational Finance ◽

10.21314/jcf.2014.290 ◽

2014 ◽

Vol 17 (3) ◽

pp. 87-110 ◽

Cited By ~ 2

Author(s):

Ralf Korn ◽

Qian Liang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Market Model ◽

Libor Market Model ◽

Bermudan Swaptions

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Explicit European Swaption Formula in a Separable One-Factor Libor Market Model; Extension to Bond Futures and 2-Bermudan Swaptions

SSRN Electronic Journal ◽

10.2139/ssrn.1089075 ◽

2008 ◽

Author(s):

Marc P. A. Henrard

Keyword(s):

Market Model ◽

Libor Market Model ◽

Model Extension ◽

Bermudan Swaptions ◽

Bond Futures

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Comparing Discretization of the LIBOR Market Model in the Spot Measure

SSRN Electronic Journal ◽

10.2139/ssrn.1092267 ◽

2008 ◽

Cited By ~ 5

Author(s):

Christopher Beveridge ◽

Nick Denson ◽

Mark S. Joshi

Keyword(s):

Market Model ◽

Libor Market Model

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Calibration of the Multi-Currency LIBOR Market Model

SSRN Electronic Journal ◽

10.2139/ssrn.1743315 ◽

2011 ◽

Author(s):

Kay F. Pilz ◽

Erik Schlogl

Keyword(s):

Market Model ◽

Libor Market Model

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A Multi-Curve Random Field LIBOR Market Model

SSRN Electronic Journal ◽

10.2139/ssrn.2312160 ◽

2013 ◽

Author(s):

Tao L. Wu ◽

Shengqiang Xu

Keyword(s):

Random Field ◽

Market Model ◽

Libor Market Model

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Smile Pricing and Hedging Caps and Swaptions in Libor Market Model and Its Simple Extension

SSRN Electronic Journal ◽

10.2139/ssrn.2367723 ◽

2013 ◽

Author(s):

Hongzhu Li

Keyword(s):

Market Model ◽

Simple Extension ◽

Libor Market Model

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Markovian Projection for the Local Stochastic Volatility Libor Market Model

SSRN Electronic Journal ◽

10.2139/ssrn.2610110 ◽

2015 ◽

Author(s):

Osamu Tsuchiya

Keyword(s):

Stochastic Volatility ◽

Market Model ◽

Libor Market Model

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