Pages that link to "Item:Q1376238"
From MaRDI portal
The following pages link to LIBOR and swap market models and measures (Q1376238):
Displaying 50 items.
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043) (← links)
- A tractable LIBOR model with default risk (Q356479) (← links)
- A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- Interest rate theory and geometry (Q604623) (← links)
- Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
- Fast delta computations in the swap-rate market model (Q633332) (← links)
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
- Consistent variance curve models (Q854272) (← links)
- Consistency among trading desks (Q854281) (← links)
- Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
- Efficient rank reduction of correlation matrices (Q875015) (← links)
- Generic market models (Q881416) (← links)
- From structural assumptions to a link between assets and interest rates (Q959749) (← links)
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544) (← links)
- Analytical approximations for prices of swap rate dependent embedded options in insurance products (Q1003826) (← links)
- A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (Q1376240) (← links)
- Implied interest rate pricing models (Q1387769) (← links)
- Pricing American-style securities using simulation (Q1391436) (← links)
- An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices (Q1398974) (← links)
- Pricing and hedging guaranteed annuity options via static option replication. (Q1423359) (← links)
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425) (← links)
- Pricing of range accrual swap in the quantum finance Libor market model (Q1782677) (← links)
- Optimal low-rank approximation to a correlation matrix (Q1870071) (← links)
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations (Q1938899) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- Economic scenario generators: a risk management tool for insurance (Q2094843) (← links)
- Black's model in a negative interest rate environment, with application to OTC derivatives (Q2127359) (← links)
- Valuation of caps and swaptions under a stochastic string model (Q2141896) (← links)
- A multicurve cross-currency LIBOR market model (Q2337026) (← links)
- A new parameterization for the drift-free simulation in the Libor market model (Q2341004) (← links)
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors (Q2374124) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Negative Libor rates in the swap market model (Q2463709) (← links)
- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration (Q2469854) (← links)
- A new simulation approach to the LIBOR market model (Q2476718) (← links)
- Structure preserving stochastic integration schemes in interest rate derivative modeling (Q2479422) (← links)
- Affine stochastic mortality (Q2507942) (← links)
- Pricing currency derivatives with Markov-modulated Lévy dynamics (Q2513442) (← links)
- Jacobi stochastic volatility factor for the LIBOR market model (Q2675815) (← links)
- Modelling of forward Libor and swap rates (Q2771111) (← links)
- Explosive behavior in a log-normal interest rate model (Q2842536) (← links)
- Libor market model under the real-world measure (Q2842538) (← links)
- The affine LIBOR models (Q2851558) (← links)
- Accelerating pathwise Greeks in the LIBOR market model (Q2882688) (← links)
- \(L^2\)-theoretical study of the relation between the LIBOR market model and the HJM model (Q2923292) (← links)
- Admissibility of generic market models of forward swap rates (Q2927948) (← links)
- CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs (Q2976135) (← links)
