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Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.; Heys, Jan van - In: Applied mathematical finance 17 (2010) 5/6, pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
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Spread ladder swaps : an analysis of controversial interest rate derivatives
Muck, Matthias - In: Financial markets and portfolio management 26 (2012) 2, pp. 269-289
Persistent link: https://www.econbiz.de/10009553642
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Valuing early-exercise interest-rate options with multi-factor affine models
Jaimungal, Sebastian; Surkov, Vladimir - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010197181
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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf; Liang, Qian - In: The journal of computational finance 17 (2013/2014) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Interest-rate swaps and swaptions
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - In: The handbook of fixed income securities, (pp. 1249-1281). 2005
Persistent link: https://www.econbiz.de/10003055314
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Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
Heys, Jan van - 2011
gives a satisfactory fit to the market. We conclude our investigation with a pricing of a callable swap on cms spread using …
Persistent link: https://www.econbiz.de/10013134183
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Deliverable Interest Rate Swap Futures : Pricing in Gaussian HJM Model
Henrard, Marc P. A. - 2012
CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This note describes the product and …
Persistent link: https://www.econbiz.de/10013100101
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Smile Pricing and Hedging Caps and Swaptions in Libor Market Model and Its Simple Extension
Li, Hongzhu - 2013
This paper presents an extensive test of the Libor Market on the Euro Cap and Swaption market. The deterministic LIBOR market model prices OTC cap exactly and prices OTC swaptions with errors well below two basis points. Tests for the hedging performance show that the deterministic LIBOR market...
Persistent link: https://www.econbiz.de/10013071703