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A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models
16 references·0 citing·35 second hop
A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models (2003)A Practitioner's Guide to Pricing and Hed…Extended Libor market models with stochastic volatility (2005)Extended Libor market models …Volatility and Correlation (2004)Volatility and CorrelationPrimal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Volatility skews and extensions of the Libor market model (2000)Volatility skews and extensio…A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)A simple approach to the pric…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Pricing American-style securities using simulation (1997)Pricing American-style securi…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…LIBOR and swap market models and measures (1997)LIBOR and swap market models …Interest-rate option models (1996)Interest-rate option modelsVOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Regression methods for pricing complex American-style options (2001)Measuring Market Risk (2005)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)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)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)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)A stochastic mesh method for pricing high-dimensional American options (2004)Pricing American Options: A Duality Approach (2004)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2000Volatility skews and extensions of the Libor market model277 cited
  • 1996Interest-rate option models275 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 2004Volatility and Correlation253 cited
  • 2005Extended Libor market models with stochastic volatility163 cited
  • 2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model

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