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Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube

Leippold, Markus; Strømberg, Jacob - In: Journal of Financial Economics 111 (2014) 1, pp. 224-250

We propose a novel time-changed Lévy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and...

Persistent link: https://www.econbiz.de/10011039198

Stochastic skew in currency options

Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 86 (2007) 1, pp. 213-247

Persistent link: https://www.econbiz.de/10005376639

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Bakshi, Gurdip; Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 87 (2008) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10005376779

Time-changed Levy processes and option pricing

Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 71 (2004) 1, pp. 113-141

Persistent link: https://www.econbiz.de/10005376916

Predictable changes in yields and forward rates

Backus, David; Foresi, Silverio; Mozumdar, Abon; Wu, Liuren - In: Journal of Financial Economics 59 (2001) 3, pp. 281-311

Persistent link: https://www.econbiz.de/10005478250