Similar Search Results

CMS, CMS spreads and similar options in the multi-factor HJM framework

Hanton, Pierre; Henrard, Marc - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-18

Persistent link: https://www.econbiz.de/10009685893

Arbitrage-free multifactor term structure models : a theory based on stochastic control

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010187681

The affine LIBOR models

Keller‐Ressel, Martin; Papapantoleon, Antonis; … - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 627-658

Persistent link: https://www.econbiz.de/10010187682

CDO term structure modelling with Lévy processes and the relation to market models

Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10009562136

Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models

Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44

Persistent link: https://www.econbiz.de/10009575414

A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...

Persistent link: https://www.econbiz.de/10003635097