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Fast drift-approximated pricing in the BGM model
16 references·4 citing·37 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering552 cited
  • 2002Monte Carlo methods in finance459 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2000Efficient Methods for Valuing Interest Rate Derivatives217 cited
  • 1997Continuous-time term structure models: Forward measure approach160 cited
  • 2004A chaotic approach to interest rate modelling89 cited
  • 1999Fast greeks by simulation in forward LIBOR models88 cited
  • 2000Markov-functional interest rate models82 cited
  • 2003

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Numerical solution of jump-diffusion LIBOR market models
71 cited

Cited by

  • 2006THEORY AND CALIBRATION OF SWAP MARKET MODELS36 cited
  • 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited
  • 2006New and Robust Drift Approximations for the Libor Market Model29 cited
  • 2003A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models29 cited