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The Lévy LIBOR model
13 references·12 citing·43 second hop
The Lévy LIBOR model (2005)The Lévy LIBOR modelL�vy term structure models: No-arbitrage and completeness (2004)L�vy term structure models: N…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…The Term Structure of Simple Forward Rates with Jump Risk (2003)The Term Structure of Simple …The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Towards a general theory of bond markets (1997)Towards a general theory of b…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…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Chebyshev interpolation for parametric option pricing (2018)Chebyshev interpolation for p…A Lévy HJM multiple-curve model with application to CVA computation (2014)A Lévy HJM multiple-curve mod…Fourier-Based Valuation Methods in Mathematical Finance (2013)Fourier-Based Valuation Metho…THE AFFINE LIBOR MODELS (2012)THE AFFINE LIBOR MODELSEFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (2012)EFFICIENT PRICING AND RELIABL…Weak and strong Taylor methods for numerical solutions of stochastic differential equations (2010)Weak and strong Taylor method…MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (2010)MODERN LIBOR MARKET MODELS: U…Jump-adapted discretization schemes for Lévy-driven SDEs (2010)Jump-adapted discretization s…The Term Structure of Interest Rates (2009)The Term Structure of Interes…Jump–Type Lévy Processes (2009)Jump–Type Lévy ProcessesCalibration of Lévy Term Structure Models (2007)Calibration of Lévy Term Stru…Time-inhomogeneous Levy processes in interest rate and credit risk models (2005)Time-inhomogeneous Levy proce…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)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)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Continuous-time term structure models: Forward measure approach (1997)The Term Structure of Interest Rates as a Random Field (2000)Stochastic Integration and Differential Equations (2005)Limit Theorems for Stochastic Processes (1987)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)A complete explicit solution to the log-optimal portfolio problem (2003)Variance-optimal hedging for processes with stationary independent increments (2006)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Term Structure Dynamics in Theory and Reality (2003)Brownian Motion and Stochastic Calculus (2007)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1997Towards a general theory of bond markets334 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
  • 2004L�vy term structure models: No-arbitrage and completeness119 cited

Cited by

  • 2010MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING64 cited
  • 2010Jump-adapted discretization schemes for Lévy-driven SDEs59 cited

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2012
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
52 cited
  • 2005Time-inhomogeneous Levy processes in interest rate and credit risk models51 cited
  • 2018Chebyshev interpolation for parametric option pricing47 cited
  • 2009Jump–Type Lévy Processes41 cited
  • 2012THE AFFINE LIBOR MODELS39 cited
  • 2014A Lévy HJM multiple-curve model with application to CVA computation36 cited
  • 2013Fourier-Based Valuation Methods in Mathematical Finance36 cited
  • 2007Calibration of Lévy Term Structure Models32 cited
  • 2010Weak and strong Taylor methods for numerical solutions of stochastic differential equations31 cited
  • 2009The Term Structure of Interest Rates28 cited