Arbitrage-free discretization of lognormal forward Libor and swap rate models

DOI10.1007/s007800050002zbMath0947.60050OpenAlexW2093331649MaRDI QIDQ1979076

Xiaoliang Zhao, Paul Glasserman

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050002

zbMATH Keywords

Monte Carlo simulationmarket modelsinterest rate models

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL ⋮ THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ Multicurve LIBOR market models and drift-free simulation ⋮ Models of forward Libor and swap rates ⋮ Volatility skews and extensions of the Libor market model ⋮ New and robust drift approximations for the LIBOR market model ⋮ A new simulation approach to the LIBOR market model ⋮ Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives ⋮ Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model ⋮ A multinomial tree model for pricing credit default swap options ⋮ A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates ⋮ A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach ⋮ EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL ⋮ Phase transition in a log-normal Markov functional model ⋮ A new parameterization for the drift-free simulation in the Libor market model

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