New and robust drift approximations for the LIBOR market model

DOI10.1080/14697680701458000zbMath1140.91393OpenAlexW3124010724MaRDI QIDQ3518382

Mark S. Joshi, Alan M. Stacey

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/34303

zbMATH Keywords

derivatives pricingfinancial engineeringfinancial mathematicsfinancial modellingfinancial simulationderivative pricing models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL ⋮ CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs ⋮ THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM ⋮ THE AFFINE LIBOR MODELS ⋮ A new parameterization for the drift-free simulation in the Libor market model

Cites Work

• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• The Market Model of Interest Rate Dynamics
• Unnamed Item

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