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Libor Market Model
  • Fast Delta Computations in the Swap-Rate Market Model models We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative (IRD) with respect to different underlying rates in the co-terminal swap-rate market model. The order of computation per step of the new method is shown to be proportional to the number of rates times the number of factors, which is the same as the order in the LIBOR market model. , M.S.Joshi, C.Yang (2009)
  • LIBOR market model with SABR style stochastic volatility models , P.Hagan, A.Lesniewski (2008)
  • Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions models , M.Joshi, F.Ametrano (2008)
  • Pricing Bermudan Swaptions in the LIBOR Market Model models , S.Hippler (2008)
  • Comparing Discretization of the LIBOR Market Model in the Spot Measure models , M.Joshi, N.Denson, C.Beveridge (2008)
  • New and Robust Drift Approximations for the Libor Market Model models , M.Joshi, A.M.Stacey (2006)
  • The Libor Market Model models , N.Selic (2006)
  • Calibrating a Three Factors Libor Market Model models , M.Lim (2004)
  • Smile Modeling in the Libor Market Model models , M.Meister supervised by Dr.Christian Fries (2004)
  • Interest Rate Model Calibration Using Semidefinite Programming models , A. d Apresmont (2003)
  • A Practitioner s Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models models , V.Piterbarg (2003)
  • The Libor Market Model, Master s Thesis models , R.Pieterz (2003)
  • Calibration of the LIBOR Market Model: Three Prescriptions models , D.Gatarek (2003)
  • Risk Managing Bermudan Swaptions in the Libor BGM Model models , R.Pieterz (2003)
  • Interest Rate Model Calibration and Risk-Management Using Semidefinite Programming models , A.d Apresmont (2003)
  • Fast drift approximated pricing in the BGM model models , R.Pieterz (2002)
  • Interest Rate Theory, the BGM Model models , I.Grubisic (2002)
  • Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration models , D.Brigo, C.Capitani, F.Mercurio (2001)
  • Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR market model models , J. Hull, A. White (1999)
  • LIBOR Market Models in Practice models , J.Sidenius (1998)





















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