Path-Dependent Multicurrency Interest Rate Derivatives

1998 ◽  
Author(s):  
Meifang Chu
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Path Dependent

scholarly journals A Comparison of Control Variate Methods for Pricing Interest Rate Derivatives in the LIBOR Market Model

2015 ◽  
Vol 3 (1) ◽  
pp. 48-58
Author(s):  
Chenglong Xu ◽  
Wei Guan ◽  
Yijuan Liang
Keyword(s):  
Interest Rate ◽  
Numerical Results ◽  
Market Model ◽  
Great Efficiency ◽  
Control Variates ◽  
Interest Rate Derivatives ◽  
Libor Market Model ◽  
Control Variate ◽  
Path Dependent

AbstractThis paper studies the control variate method for pricing interest rate derivatives driven by the LIBOR market model. Several control variates are constructed based on distinctive approximations for the LIBOR market model. Numerical results show the great efficiency of our methods. The idea in this paper can also be extended to price other interest rate derivatives under the LIBOR market model, such asSwaptions, Caps, some path dependent interest rate derivatives, and so forth.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework

Board Composition and Corporate Investment in Interest Rate Derivatives

2001 ◽  
Author(s):  
Kenneth A. Borokhovich ◽  
Kelly R. Brunarski ◽  
Claire E. Crutchley ◽  
Betty J. Simkins
Keyword(s):  
Interest Rate ◽  
Corporate Investment ◽  
Board Composition ◽  
Interest Rate Derivatives
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