MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING

DOI10.1142/S021902491000570XzbMath1206.91086OpenAlexW2011388769MaRDI QIDQ3560083

Fabio Mercurio

Publication date: 19 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491000570x

zbMATH Keywords

stochastic volatilitycapsinterest ratesbasiscredit crisisswaptionsLIBOR market modelmeasure changeanalytical formulasdiscount curveforward curves

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• The Lévy LIBOR model
• A multi-quality model of interest rates
• The Market Model of Interest Rate Dynamics
• Stochastic Volatility Model with Time‐dependent Skew
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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