Multicurve LIBOR market models and drift-free simulation

DOI10.1080/00207160.2016.1247440zbMath1403.91356OpenAlexW2531413566MaRDI QIDQ3174921

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

Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1247440

zbMATH Keywords

martingale propertyLibor market modeldrift-free simulationmulticurve environment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• A new parameterization for the drift-free simulation in the Libor market model

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