A new simulation approach to the LIBOR market model

DOI10.1016/j.mcm.2006.01.024zbMath1132.91450OpenAlexW2032396197MaRDI QIDQ2476718

Henry Schellhorn, Zhi Hua Chen

Publication date: 12 March 2008

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2006.01.024

zbMATH Keywords

Monte Carlo simulationLIBOR market model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• LIBOR and swap market models and measures
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics

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