basic challenges which are faced by a practical user of LMM. Incorrect implementation can lead to arbitrage in the model and … render generated prices invalid. In this paper, we present a rate interpolation scheme which not only is arbitrage-free, but …

Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and … from static (or model-independent) arbitrage and study the inference problem where a model is learnt from discrete time … modelled SDE system, and impose constraints on the neural nets such that no-arbitrage conditions are preserved. In particular …

absence of arbitrage, known as the drift condition. In contrast to the traditional model, the drift condition consists of two …

straightforward derivation of the no-arbitrage dynamics of forward rates and forward credit spreads. The model can be calibrated to … the prices of defaultable coupon bonds, asset swap rates and default swap rates for which closed-form solutions are given … formula for options on default swaps is made exact in a modified modelling framework using an analogy to the swap measure, the …