Works matching DE "LIBOR market model"

Results: 49

Affine LIBOR models driven by real-valued affine processes.

Published in:

Stochastic Models, 2016, v. 32, n. 2, p. 333, doi. 10.1080/15326349.2015.1128339

By:

Müller, Wolfgang;
Waldenberger, Stefan

Publication type:

Article

The corruption of financial benchmarks: financial markets, collective goods and institutional purposes.

Published in:

Law & Financial Markets Review, 2014, v. 8, n. 2, p. 155, doi. 10.5235/17521440.8.2.155

By:

MILLER, SEUMAS

Publication type:

Article

Who put the "lie" in LIBOR (and who should take it out)? Civil LIBOR litigation in the US.

Published in:

Law & Financial Markets Review, 2014, v. 8, n. 2, p. 145, doi. 10.5235/17521440.8.2.145

By:

STRIMLING, SAMANTHA;
TALLEY, ERIC

Publication type:

Article

A re-examination of Libor rigging: a time-varying cointegration perspective.

Published in:

Quantitative Finance, 2017, v. 17, n. 9, p. 1367, doi. 10.1080/14697688.2016.1267390

By:

Chua, Chew Lian;
Suardi, Sandy;
Chang, Yuanchen

Publication type:

Article

Calibrating a market model with stochastic volatility to commodity and interest rate risk.

Published in:

Quantitative Finance, 2017, v. 17, n. 6, p. 907, doi. 10.1080/14697688.2016.1254814

By:

Karlsson, P.;
Pilz, K. F.;
Schlögl, E.

Publication type:

Article

A flexible spot multiple-curve model.

Published in:

Quantitative Finance, 2016, v. 16, n. 10, p. 1465, doi. 10.1080/14697688.2015.1108521

By:

Grasselli, Martino;
Miglietta, Giulio

Publication type:

Article

High-performance financial simulation using randomized quasi-Monte Carlo methods.

Published in:

Quantitative Finance, 2015, v. 15, n. 8, p. 1425, doi. 10.1080/14697688.2015.1032549

By:

Xu, Linlin;
Ökten, Giray

Publication type:

Article

An almost Markovian LIBOR market model calibrated to caps and swaptions.

Published in:

Quantitative Finance, 2014, v. 14, n. 11, p. 1937, doi. 10.1080/14697688.2013.779012

By:

Gan, Junwu

Publication type:

Article

Stochastic volatility for interest rate derivatives.

Published in:

Quantitative Finance, 2014, v. 14, n. 3, p. 457, doi. 10.1080/14697688.2012.757848

By:

Kaisajuntti, Linus;
Kennedy, Joanne

Publication type:

Article

Parsimonious HJM modelling for multiple yield curve dynamics.

Published in:

Quantitative Finance, 2014, v. 14, n. 2, p. 199, doi. 10.1080/14697688.2013.829242

By:

Moreni, N.;
Pallavicini, A.

Publication type:

Article

A hybrid commodity and interest rate market model.

Published in:

Quantitative Finance, 2013, v. 13, n. 4, p. 543, doi. 10.1080/14697688.2011.627879

By:

Pilz, K. F.;
Schlögl, E.

Publication type:

Article

Multiple stochastic volatility extension of the Libor market model and its implementation.

Published in:

Monte Carlo Methods & Applications, 2009, v. 15, n. 4, p. 285, doi. 10.1515/MCMA.2009.016

By:

Belomestny, Denis;
Mathew, Stanley;
Schoenmakers, John

Publication type:

Article

A drift-free simulation method for pricing commodity derivatives.

Published in:

Applied Stochastic Models in Business & Industry, 2015, v. 31, n. 4, p. 536, doi. 10.1002/asmb.2056

By:

Fernández, José Luis;
Pou, Marta;
Vázquez, Carlos

Publication type:

Article

Correlations in Lévy interest rate models.

Published in:

Quantitative Finance, 2011, v. 11, n. 9, p. 1315, doi. 10.1080/14697688.2010.542299

By:

Beinhofer, Maximilian;
Eberlein, Ernst;
Janssen, Arend;
Polley, Manuel

Publication type:

Article

A jump-diffusion Libor model and its robust calibration.

Published in:

Quantitative Finance, 2011, v. 11, n. 4, p. 529, doi. 10.1080/14697680903295176

By:

Belomestny, Denis;
Schoenmakers, John

Publication type:

Article

Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions.

Published in:

Quantitative Finance, 2011, v. 11, n. 4, p. 547, doi. 10.1080/14697688.2010.535839

By:

Ametrano, Ferdinando M.;
Joshi, Mark S.

Publication type:

Article

Weak and strong Taylor methods for numerical solutions of stochastic differential equations.

Published in:

Quantitative Finance, 2011, v. 11, n. 4, p. 517, doi. 10.1080/14697680903493573

By:

Siopacha, Maria;
Teichmann, Josef

Publication type:

Article

INVERTED LIBOR YIELD CURVE AND REAL MACROECONOMIC ACTIVITY.

Published in:

Journal of Business & Behavioral Sciences, 2015, v. 27, n. 2, p. 18

By:

Heath, Ellis B.

Publication type:

Article

Interest rate model comparisons for participating products under Solvency II.

Published in:

Scandinavian Actuarial Journal, 2018, v. 2018, n. 3, p. 203, doi. 10.1080/03461238.2017.1332679

By:

Aas, Kjersti;
Neef, Linda R.;
Williams, Lloyd;
Raabe, Dag

Publication type:

Article

Barrier Caps and Floors under the LIBOR Market Model with Double Exponential Jumps.

Published in:

Journal of Derivatives, 2014, v. 21, n. 4, p. 7, doi. 10.3905/jod.2014.21.4.007

By:

JUI-JANE CHANG;
SON-NAN CHEN;
CHUN-CHAO WANG;
TING-PIN WU

Publication type:

Article

Untitled.

Published in:

Journal of Derivatives, 2014, v. 21, n. 4, p. 1

By:

Figlewski, Stephen

Publication type:

Article

VALUATION OF CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model.

Published in:

Journal of Derivatives, 2011, v. 19, n. 1, p. 41, doi. 10.3905/jod.2011.19.1.041

By:

WU, TING-PIN;
CHEN, SON-NAN

Publication type:

Article

An Efficient Lattice Algorithm for the LIBOR Market Model.

Published in:

Journal of Derivatives, 2011, v. 19, n. 1, p. 25, doi. 10.3905/jod.2011.19.1.025

By:

XIAO, TIM

Publication type:

Article

Untitled.

Published in:

Journal of Derivatives, 2011, v. 19, n. 1, p. 1

By:

Figlewski, Stephen

Publication type:

Article

Libor, Strategy, and International Cartel Investigations.

Published in:

Journal of European Competition Law & Practice, 2013, v. 4, n. 1, p. 87, doi. 10.1093/jeclap/lps077

By:

Lim, Chai

Publication type:

Article

Credit Default Swaps: A Cash Flow Analysis.

Published in:

Journal of Fixed Income, 2011, v. 20, n. 3, p. 40

By:

BENZSCHAWEL, TERRY;
CORLU, ALPER

Publication type:

Article

Introducing the Citi LMM Term Structure Model for Mortgages.

Published in:

Journal of Fixed Income, 2010, v. 20, n. 1, p. 44, doi. 10.3905/jfi.2010.20.1.044

By:

KARPISHPAN, YAKOV;
TUREL, OZGUR;
HASHA, ALEXANDER

Publication type:

Article

A Multicurve Cross-Currency LIBOR Market Model.

Published in:

Journal of Applied Mathematics, 2019, p. 1, doi. 10.1155/2019/8246578

By:

Wamwea, Charity;
Ngare, Philip;
Mbele Bidima, Martin Le Doux

Publication type:

Article

Multicurve LIBOR market models and drift-free simulation.

Published in:

International Journal of Computer Mathematics, 2017, v. 94, n. 11, p. 2194, doi. 10.1080/00207160.2016.1247440

By:

Fernández, J. L.;
Nogueiras, M. R.;
Pou, M.;
Vázquez, C.

Publication type:

Article

The 2012 LIBOR Scandal: An Analysis of the Lack of Institutional Oversight and Incentives to Deter Manipulation of the World's Most "Important Number".

Published in:

Transnational Law & Contemporary Problems, 2014, v. 23, n. 1, p. 173

By:

Konchar, Samuel

Publication type:

Article

Radial Basis Function Solution for the LIBOR Market Model PDE.

Published in:

Punjab University Journal of Mathematics, 2018, v. 50, n. 4, p. 23

By:

Lalami, S. Z. Rezaei;
Levesley, Jeremy;
Sajjad, Muhammad F.

Publication type:

Article

Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models.

Published in:

Applied Mathematical Finance, 2017, v. 24, n. 1, p. 23, doi. 10.1080/1350486X.2017.1327324

By:

Criens, David;
Glau, Kathrin;
Grbac, Zorana

Publication type:

Article

Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes.

Published in:

Applied Mathematical Finance, 2016, v. 23, n. 3, p. 236, doi. 10.1080/1350486X.2016.1243013

By:

Eberlein, Ernst;
Eddahbi, M'hamed;
Lalaoui Ben Cherif, S. M.

Publication type:

Article

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates.

Published in:

Applied Mathematical Finance, 2012, v. 19, n. 1, p. 1, doi. 10.1080/1350486X.2011.570492

By:

Grzelak, LechA.;
Oosterlee, CornelisW.

Publication type:

Article

Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options.

Published in:

Applied Mathematical Finance, 2010, v. 17, n. 5, p. 453, doi. 10.1080/13504860903541317

By:

Börger, ReikH.;
van Heys, Jan

Publication type:

Article

DEVELOPMENTS IN BANKING AND FINANCIAL LAW: 2012.

Published in:: Review of Banking & Financial Law, 2012, v. 32, n. 1, p. 1
Publication type:: Article

Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA.

Published in:

Probability, Uncertainty & Quantitative Risk, 2018, v. 3, n. 1, p. N.PAG, doi. 10.1186/s41546-017-0025-4

By:

Papapantoleon, Antonis;
Wardenga, Robert

Publication type:

Article

Estimating market expectations of changes in Bank Rate.

Published in:

Bank of England Quarterly Bulletin, 2015, v. 55, n. 3, p. 273

By:

Elliott, David;
Noss, Joseph

Publication type:

Article

LIBOR as a Keynesian Beauty Contest: A Process of Endogenous Deception.

Published in:

Review of Political Economy, 2014, v. 26, n. 3, p. 392, doi. 10.1080/09538259.2014.917824

By:

Stenfors, Alexis

Publication type:

Article

STOCHASTIC SKEW IN THE INTEREST RATE CAP MARKET.

Published in:

New Directions for Student Leadership, 2015, v. 2015, n. 145, p. 1146, doi. 10.1002/fut.21646

By:

LEUNG, KWAI S.;
NG, HON Y.;
WONG, HOI Y.

Publication type:

Article

MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL.

Published in:

Mathematical Models & Methods in Applied Sciences, 2011, v. 21, n. 7, p. 1479, doi. 10.1142/S0218202511005465

By:

PASCUCCI, A.;
SUÁREZ-TABOADA, M.;
VÁZQUEZ, C.;
Bellomo, N.

Publication type:

Article

CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 1, p. 1250008-1, doi. 10.1142/S0219024911006462

By:

SCHMIDT, THORSTEN;
ZABCZYK, JERZY

Publication type:

Article

EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL.

Published in:

International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 4, p. N.PAG, doi. 10.1142/S0219024918500206

By:

VAN APPEL, JACQUES;
MCWALTER, THOMAS A.

Publication type:

Article

CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs.

Published in:

International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 2, p. -1, doi. 10.1142/S0219024917500212

By:

GOGALA, JAKA;
KENNEDY, JOANNE E.

Publication type:

Article

THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM.

Published in:

International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 1, p. 1, doi. 10.1142/S0219024914500010

By:

BEVERIDGE, CHRISTOPHER;
JOSHI, MARK

Publication type:

Article

CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 7, p. 1, doi. 10.1142/S0219024912500483

By:

HANTON, PIERRE;
HENRARD, MARC

Publication type:

Article

ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250012-1, doi. 10.1142/S0219024912500124

By:

JOSHI, MARK;
WIGUNA, ALEXANDER

Publication type:

Article

The Libor scandal: COULD IT HAPPEN IN AUSTRALIA?

Published in:

inFinance, 2012, v. 126, n. 4, p. 9

By:

CAIN, ALEXANDRA

Publication type:

Article

How to Get New Banks to Join the LIBOR Panel.

Published in:

Journal of Critical Incidents, 2016, v. 9, p. 76

By:

Pagani, Marco;
Grace, Elizabeth;
Osland, Asbjorn

Publication type:

Article