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Effect of liquidity on the implied volatility surface in interest rate options markets

Kim, Kwanho - In: Global business and finance review 22 (2017) 3, pp. 45-60

Persistent link: https://www.econbiz.de/10011849353

Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments

Backwell, Alex; Ruddock, Ralph - In: Applied economics 55 (2023) 18, pp. 2060-2069

Persistent link: https://www.econbiz.de/10014294859

About long-term cross-currency Bermuda swaption pricing

Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262

Persistent link: https://www.econbiz.de/10012272028

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility

Oya, Kenjiro - 2018

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

Persistent link: https://www.econbiz.de/10012912383

Study and Calibration of a LIBOR Forward Swap Model with Stochastic Volatility

Mori, Giorgio - 2013

The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … most common short rate models; it will introduce the Heath-Jarrow-Morton framework and it will describe the LIBOR swap …

Persistent link: https://www.econbiz.de/10013081191

Unifying Variance Swap Term Structures, SPX and VIX Derivatives

Zhao, Bo - 2014

We propose a term structure function, a two-factor variance process and a return process to jointly price SPX and VIX derivatives. The distinctive feature of the variance model is that the factor coefficients are time-varying and they are bonded with the term structure of variance swaps. The...

Persistent link: https://www.econbiz.de/10013066807

Smile Pricing and Hedging Caps and Swaptions in Libor Market Model and Its Simple Extension

Li, Hongzhu - 2013

This paper presents an extensive test of the Libor Market on the Euro Cap and Swaption market. The deterministic LIBOR … performance show that the deterministic LIBOR market model is more effective in hedging in- and at-the money OTC caps and … swaptions. The simple extended LIBOR market model under the displaced diffusion dynamics is sufficient to model the Euro caplet …

Persistent link: https://www.econbiz.de/10013071703

Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model

Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72

Persistent link: https://www.econbiz.de/10009241255

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011