SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
15 references·7 citing·37 second hop
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (2003)A displaced-diffusion stochastic volatili…The Term Structure of Simple Forward Rates with Jump Risk (2003)The Term Structure of Simple …Monte Carlo methods in finance (2002)Monte Carlo methods in financeVolatility skews and extensions of the Libor market model (2000)Volatility skews and extensio…Volatility and correlation in the pricing of equity, FX, and interest-rate options (1999)Volatility and correlation in…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …LIBOR and swap market models and measures (1997)LIBOR and swap market models …Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Closed Form Solutions for Ter…Interest-rate option models (1996)Interest-rate option modelsFinancial Calculus (1996)Financial CalculusThe Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Displaced Diffusion Option Pricing (1983)Displaced Diffusion Option Pr…The Constant Elasticity of Variance Model and Its Implications For Option Pricing (1980)The Constant Elasticity of Va…LIBOR market model with SABR style stochastic volatility (2019)LIBOR market model with SABR …Solving SABR in Exact Form and Unifying it with LIBOR Market Model (2009)Solving SABR in Exact Form an…Interest rates in quantum finance: The Wilson expansion and Hamiltonian (2009)Interest rates in quantum fin…THEORY AND CALIBRATION OF SWAP MARKET MODELS (2006)THEORY AND CALIBRATION OF SWA…SELF EXCITING THRESHOLD INTEREST RATES MODELS (2006)SELF EXCITING THRESHOLD INTER…Evolving yield curves in the real-world measures: a semi-parametric approach (2005)Evolving yield curves in the …Review Paper. Interest–rate term–structure pricing models: a review (2004)Review Paper. Interest–rate t…The Pricing of Options and Corporate Liabilities (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)Fact and Fantasy in the Use of Options (1975)The valuation of options for alternative stochastic processes (1976)Stock Price Dynamics and Firm Size: An Empirical Investigation (1992)20 Testing option pricing models (1995)Options and Bubbles (2006)Theory of Rational Option Pricing (1973)Term Structure Dynamics in Theory and Reality (2003)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Brownian Motion and Stochastic Calculus (2007)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)Extended Libor market models with stochastic volatility (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A comparison of biased simulation schemes for stochastic volatility models (2009)Monte Carlo and Quasi-Monte Carlo Methods (2013)Value at Risk (2000)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)The Econometrics of Financial Markets (1998)Interest‐Rate Modelling (2014)Numerical Solution of Stochastic Differential Equations (2016)
this work references cited by second hop

References

  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 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
  • 1996Financial Calculus313 cited
  • 1980The Constant Elasticity of Variance Model and Its Implications For Option Pricing280 cited
  • 2000Volatility skews and extensions of the Libor market model277 cited
  • 1996Interest-rate option models275 cited
  • 1983Displaced Diffusion Option Pricing247 cited
  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates163 cited
  • 1999Volatility and correlation in the pricing of equity, FX, and interest-rate options98 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2009
Interest rates in quantum finance: The Wilson expansion and Hamiltonian
56 cited
  • 2006SELF EXCITING THRESHOLD INTEREST RATES MODELS52 cited
  • 2009Solving SABR in Exact Form and Unifying it with LIBOR Market Model50 cited
  • 2019LIBOR market model with SABR style stochastic volatility37 cited
  • 2006THEORY AND CALIBRATION OF SWAP MARKET MODELS36 cited
  • 2005Evolving yield curves in the real-world measures: a semi-parametric approach33 cited
  • 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited