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Interest Rate Derivatives: HJM Models

The Mathematics of Derivatives ◽

10.1002/9781119197034.ch8 ◽

2015 ◽

pp. 68-78

Keyword(s):

Interest Rate ◽

Interest Rate Derivatives ◽

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Simplified BGM and HJM Models

The LIBOR Market Model in Practice ◽

10.1002/9781118673348.ch6 ◽

2013 ◽

pp. 55-62

Keyword(s):

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PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS

Mathematical Finance ◽

10.1111/mafi.12019 ◽

2013 ◽

Vol 24 (4) ◽

pp. 762-789 ◽

Author(s):

João Pedro Vidal Nunes ◽

Pedro Miguel Silva Prazeres

Keyword(s):

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Efficient Simulation and Calibration of General HJM Models by Splitting Schemes

SIAM Journal on Financial Mathematics ◽

10.1137/110860173 ◽

2013 ◽

Vol 4 (1) ◽

pp. 575-598 ◽

Author(s):

Philipp Dörsek ◽

Josef Teichmann

Keyword(s):

Splitting Schemes ◽

Efficient Simulation ◽

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Correct Numeraire/Bond Correlation in One-Factor HJM Models

SSRN Electronic Journal ◽

10.2139/ssrn.2308141 ◽

2013 ◽

Author(s):

Mark A. Minnis

Keyword(s):

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An Accompaniment to a Course on Interest Rate Modeling: With Discussion of Black-76, Vasicek and HJM Models and a Gentle Introduction to the Multivariate LIBOR Market Model

SSRN Electronic Journal ◽

10.2139/ssrn.2001007 ◽

2012 ◽

Author(s):

Vasily Nekrasov

Keyword(s):

Interest Rate ◽

Market Model ◽

Libor Market Model ◽

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Pricing caps with HJM models: The benefits of humped volatility

European Journal of Operational Research ◽

10.1016/j.ejor.2010.06.019 ◽

2010 ◽

Vol 207 (3) ◽

pp. 1358-1367 ◽

Author(s):

Jury Falini

Keyword(s):

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A binomial approximation for two-state Markovian HJM models

Review of Derivatives Research ◽

10.1007/s11147-010-9053-2 ◽

2010 ◽

Vol 14 (1) ◽

pp. 37-65 ◽

Author(s):

Massimo Costabile ◽

Ivar Massabó ◽

Emilio Russo

Keyword(s):

Binomial Approximation ◽

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Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

Quantitative Finance ◽

10.1080/14697680802595692 ◽

2010 ◽

Vol 10 (1) ◽

pp. 39-47 ◽

Author(s):

Carlo Marinelli

Keyword(s):

Invariant Measures ◽

Lévy Noise ◽

Well Posedness ◽

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Finite‐dimensional Realizations of Regime‐switching HJM Models

Applied Mathematical Finance ◽

10.1080/13504860801987133 ◽

2008 ◽

Vol 15 (4) ◽

pp. 331-354 ◽

Author(s):

Mikael Elhouar

Keyword(s):

Regime Switching ◽

Finite Dimensional ◽

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