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A Multi-Curve Random Field LIBOR Market Model
SSRN Electronic Journal
◽
10.2139/ssrn.2312160
◽
2013
◽
Author(s):
Tao L. Wu
◽
Shengqiang Xu
Keyword(s):
Random Field
◽
Market Model
◽
Libor Market Model
Download Full-text
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References
A Random Field Libor Market Model with Lognormal-Mixture Dynamics
SSRN Electronic Journal
◽
10.2139/ssrn.2242301
◽
2013
◽
Author(s):
Tao L. Wu
◽
Shengqiang Xu
Keyword(s):
Random Field
◽
Market Model
◽
Libor Market Model
◽
Mixture Dynamics
Download Full-text
A Random Field LIBOR Market Model
SSRN Electronic Journal
◽
10.2139/ssrn.2312180
◽
2013
◽
Author(s):
Tao L. Wu
◽
Shengqiang Xu
Keyword(s):
Random Field
◽
Market Model
◽
Libor Market Model
Download Full-text
A Random Field LIBOR Market Model
Journal of Futures Markets
◽
10.1002/fut.21654
◽
2014
◽
pp. n/a-n/a
◽
Cited By ~ 1
Author(s):
Tao L. Wu
◽
Shengqiang Xu
Keyword(s):
Random Field
◽
Market Model
◽
Libor Market Model
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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
The Journal of Computational Finance
◽
10.21314/jcf.2015.305
◽
2015
◽
Vol 19
(1)
◽
pp. 1-10
◽
Cited By ~ 1
Author(s):
Riccardo Rebonato
Keyword(s):
Interest Rate
◽
Market Model
◽
Simple Approximation
◽
Interest Rate Models
◽
No Arbitrage
◽
Libor Market Model
Download Full-text
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
The Journal of Computational Finance
◽
10.21314/jcf.2014.290
◽
2014
◽
Vol 17
(3)
◽
pp. 87-110
◽
Cited By ~ 2
Author(s):
Ralf Korn
◽
Qian Liang
Keyword(s):
Monte Carlo Simulation
◽
Monte Carlo
◽
Market Model
◽
Libor Market Model
◽
Bermudan Swaptions
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Explicit European Swaption Formula in a Separable One-Factor Libor Market Model; Extension to Bond Futures and 2-Bermudan Swaptions
SSRN Electronic Journal
◽
10.2139/ssrn.1089075
◽
2008
◽
Author(s):
Marc P. A. Henrard
Keyword(s):
Market Model
◽
Libor Market Model
◽
Model Extension
◽
Bermudan Swaptions
◽
Bond Futures
Download Full-text
Comparing Discretization of the LIBOR Market Model in the Spot Measure
SSRN Electronic Journal
◽
10.2139/ssrn.1092267
◽
2008
◽
Cited By ~ 5
Author(s):
Christopher Beveridge
◽
Nick Denson
◽
Mark S. Joshi
Keyword(s):
Market Model
◽
Libor Market Model
Download Full-text
Calibration of the Multi-Currency LIBOR Market Model
SSRN Electronic Journal
◽
10.2139/ssrn.1743315
◽
2011
◽
Author(s):
Kay F. Pilz
◽
Erik Schlogl
Keyword(s):
Market Model
◽
Libor Market Model
Download Full-text
Smile Pricing and Hedging Caps and Swaptions in Libor Market Model and Its Simple Extension
SSRN Electronic Journal
◽
10.2139/ssrn.2367723
◽
2013
◽
Author(s):
Hongzhu Li
Keyword(s):
Market Model
◽
Simple Extension
◽
Libor Market Model
Download Full-text
Markovian Projection for the Local Stochastic Volatility Libor Market Model
SSRN Electronic Journal
◽
10.2139/ssrn.2610110
◽
2015
◽
Author(s):
Osamu Tsuchiya
Keyword(s):
Stochastic Volatility
◽
Market Model
◽
Libor Market Model
Download Full-text
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