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Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion

Schoenmakers, John - 2002

Persistent link: https://www.econbiz.de/10001724376

Endogenous interest rate dynamics in asset markets

Reiß, Oliver (contributor); Schoenmakers, John (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001593794

Lognormal approximations to Libor market models

Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100

Persistent link: https://www.econbiz.de/10001704745

Lognormal random field approximations to LIBOR market models

Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]

We study several approximations for the LIBOR market models presented in Brace, Gatarek, Musiela (1997), Jamshidian (1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random...

Persistent link: https://www.econbiz.de/10001544522