A new parameterization for the drift-free simulation in the Libor market model

DOI10.1007/s13398-014-0167-5zbMath1336.91083OpenAlexW1994976473MaRDI QIDQ2341004

María R. Nogueiras, Carlos Vázquez, Marta Pou, José Lúis Fernandez Perez

Publication date: 21 April 2015

Published in: Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13398-014-0167-5

zbMATH Keywords

martingale propertyLibor market modelDrift-free simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Multicurve LIBOR market models and drift-free simulation ⋮ Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model

Cites Work

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• LIBOR and swap market models and measures
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Drift-Free Simulation methods for pricing cross-market derivatives with LIBOR Market Model
• Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
• New and robust drift approximations for the LIBOR market model
• MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
• The Market Model of Interest Rate Dynamics
• Parameterizing correlations: a geometric interpretation
• Interest rate models -- theory and practice

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