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Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.; Heys, Jan van - In: Applied mathematical finance 17 (2010) 5/6, pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
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Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe; Reutenauer, Victor; Talay, Denis; … - In: Applied mathematical finance 23 (2016) 1/2, pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
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Interest rate model calibration using semidefinite programming
D'Aspremont, A. - In: Applied mathematical finance 10 (2003) 3, pp. 183-213
Persistent link: https://www.econbiz.de/10001841285
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Volatility skews and extensions of the libor market model
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
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A class of arbitrage-free log-normal-short-rate two-factor models
Rebonato, Riccardo - In: Applied mathematical finance 4 (1997) 4, pp. 223-236
Persistent link: https://www.econbiz.de/10001238758
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Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad - In: Applied mathematical finance 4 (1997) 4, pp. 181-199
Persistent link: https://www.econbiz.de/10001238761
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A new approximate swaption formula in the LIBOR market model : an asymptotic expansion approach
Kawai, Atsushi - In: Applied mathematical finance 10 (2003) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10001756869
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Models of forward Libor and swap rates
Rutkowski, Marek - In: Applied mathematical finance 6 (1999) 1, pp. 29-60
Persistent link: https://www.econbiz.de/10001449235
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A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus - In: Applied mathematical finance 20 (2013) 3/4, pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
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A path-independent humped volatility model for option pricing
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Applied mathematical finance 20 (2013) 3/4, pp. 191-210
Persistent link: https://www.econbiz.de/10010187670