A multicurve cross-currency LIBOR market model

DOI10.1155/2019/8246578zbMath1442.91107OpenAlexW2921809131MaRDI QIDQ2337026

Philip Ngare, Charity Wamwea, Martin L. D. Mbele Bidima

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8246578

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A general HJM framework for multiple yield curve modelling
• Higher-order implicit strong numerical schemes for stochastic differential equations
• LIBOR and swap market models and measures
• A multiple-curve HJM model of interbank risk
• A Theory of the Term Structure of Interest Rates
• Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
• A multi-quality model of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Arbitrage Theory in Continuous Time

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