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Characteristic functions in the Cheyette Interest Rate Model

Beyna, Ingo; Wystup, Uwe - 2011

We investigate the characteristic functions of multi-factor Cheyette Models and the application to the valuation of interest rate derivatives. The model dynamic can be classiffied as an affine-diffusion process implying an exponential structure of the characteristic function. The characteristic...

Persistent link: https://www.econbiz.de/10008937500

A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets

Murphy, Finbarr; Murphy, Bernard - In: Journal of economics and finance 36 (2012) 2, pp. 351-370

Persistent link: https://www.econbiz.de/10009581884

A nonlinear non-probabilistic spot interest rate model

Epstein, David; Wilmott, Paul - 1999

Persistent link: https://www.econbiz.de/10009582827

The LIBOR reader

Booth, P. (contributor) - 2012

Persistent link: https://www.econbiz.de/10009583081

Decomposing swap spreads

Feldhütter, Peter; Lando, David - In: Journal of financial economics 88 (2008) 2, pp. 375-405

Persistent link: https://www.econbiz.de/10003720318

The multi-curve potential model

Nguyen, The Anh; Seifried, Frank Thomas - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-32

Persistent link: https://www.econbiz.de/10011404390

General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets

Ulrich, Maxim - 2008

Persistent link: https://www.econbiz.de/10003751650

New and robust drift approximations for the Libor market model

Joshi, Mark S. (contributor); Stacey, Alan (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297300

Achieving decorrelation and speed simultaneously in the Libor market model

Joshi, Mark S. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297310

Risk-management methods for the Libor market model using semidefinite programming

Aspremont, Alexandre d' - In: The journal of computational finance 8 (2004/2005) 4, pp. 77-99

Persistent link: https://www.econbiz.de/10002990531

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