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Libor Market Model
  • Fast Delta Computations in the Swap-Rate Market Model 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 , P.Hagan, A.Lesniewski (2008)
  • Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions , M.Joshi, F.Ametrano (2008)
  • Pricing Bermudan Swaptions in the LIBOR Market Model , S.Hippler (2008)
  • Comparing Discretization of the LIBOR Market Model in the Spot Measure , M.Joshi, N.Denson, C.Beveridge (2008)
  • New and Robust Drift Approximations for the Libor Market Model , M.Joshi, A.M.Stacey (2006)
  • The Libor Market Model , N.Selic (2006)
  • Calibrating a Three Factors Libor Market Model , M.Lim (2004)
  • Smile Modeling in the Libor Market Model , M.Meister supervised by Dr.Christian Fries (2004)
  • Interest Rate Model Calibration Using Semidefinite Programming , A. d Apresmont (2003)
  • A Practitioner s Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models , V.Piterbarg (2003)
  • The Libor Market Model, Master s Thesis , R.Pieterz (2003)
  • Calibration of the LIBOR Market Model: Three Prescriptions , D.Gatarek (2003)
  • Risk Managing Bermudan Swaptions in the Libor BGM Model , R.Pieterz (2003)
  • Interest Rate Model Calibration and Risk-Management Using Semidefinite Programming , A.d Apresmont (2003)
  • Fast drift approximated pricing in the BGM model , R.Pieterz (2002)
  • Interest Rate Theory, the BGM Model , I.Grubisic (2002)
  • Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration , D.Brigo, C.Capitani, F.Mercurio (2001)
  • Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR market model , J. Hull, A. White (1999)
  • LIBOR Market Models in Practice , J.Sidenius (1998)





















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