A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based on the Log Normal process is introduced. In this approximation, the Markovian Projection is fitted to the CEV model rather than to Displaced Diffusion. The relationship with a...

We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm. The model exhibits non-Gaussian forward swap rates...

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...

Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on modelling the underlying single rates. For flexibility and realism, these rates are often described in the framework of stochastic volatility models. In this paper, we allow rates to be modelled within a...