The Libor market model, also known as the BGM Model, is a term structure model of interest rates. It is widely used for pricing interest rate derivatives, especially Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with...

This study compares continuous-time stochastic interest rate and stochastic volatility models of interest rate derivatives, examining these models across several dimensions: different classes of models, factor structures, and pricing algorithms. We consider a broader universe of pricing models,...

1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the SABR volatility surface. In the interest rate derivatives...

This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and...

In 2017 the Alternative Reference Rate Committee (ARRC) recommended the Secured Overnight Financing Rate (SOFR) as the replacement for USD LIBOR as the reference rate for use in derivatives and financial contracts. Since then SOFR-linked derivatives started to develop and their liquidities have...