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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Affine term structure models : a time-change approach with perfect fit to market curves
Mbaye, Cheikh; Vrins, Frédéric - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 678-724
Persistent link: https://www.econbiz.de/10013164572
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
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Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model
Wamwea, Charity; Ngare, Philip; Bidima, Martin Le Doux Mbele - In: Journal of mathematical finance 9 (2019) 4, pp. 698-725
Persistent link: https://www.econbiz.de/10012433485
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Analysing quantiles in models of forward term rates
McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18
The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...
Persistent link: https://www.econbiz.de/10014233216
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Deep calibration of financial models : turning theory into practice
Büchel, Patrick; Kratochwil, Michael; Nagl, Maximilian; … - In: Review of derivatives research 25 (2022) 2, pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
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Term-structure models : a graduate course
Filipović, Damir - 2009
Persistent link: https://www.econbiz.de/10003731830
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Mathematical interest theory
Daniel, James W.; Vaaler, Leslie Jane Federer - 2007 - 1. ed.
Persistent link: https://www.econbiz.de/10003283418