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Linking caplets and swaptions prices in the LMM-SABR model
12 references·0 citing·43 second hop
Linking caplets and swaptions prices in the LMM-SABR model (2009)Linking caplets and swaptions prices in t…Volatility and Correlation (2012)Volatility and CorrelationMoment explosions in stochastic volatility models (2006)Moment explosions in stochast…The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence (2003)The link between caplet and s…In the trenches. Convexity conundrums: Pricing CMS swaps, caps, and floors (2003)In the trenches. Convexity co…A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (2003)A displaced-diffusion stochas…A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE (2002)A JOINT EMPIRICAL AND THEORET…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…Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model (2000)Forward Rate Volatilities, Sw…On the pricing implications of the joint lognormal assumption for the swaption and cap markets (1999)On the pricing implications o…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 …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)SELF EXCITING THRESHOLD INTEREST RATES MODELS (2006)Interest rates in quantum finance: The Wilson expansion and Hamiltonian (2009)Solving SABR in Exact Form and Unifying it with LIBOR Market Model (2009)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)The pricing of commodity contracts (1976)Martingales and arbitrage in multiperiod securities markets (1979)Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (2001)A Methodology for Assessing Model Risk and Its Application to the Implied Volatility Function Model (2002)Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? (2007)Displaced Diffusion Option Pricing (1983)Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Simulation of nonlinear interest rates in quantum finance: Libor Market Model (2011)The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (2013)Quantum Field Theory for Economics and Finance (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Iterative construction of the optimal Bermudan stopping time (2005)Parameterizing correlations: a geometric interpretation (2006)The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)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)The Term Structure of Simple Forward Rates with Jump Risk (2003)Extended Libor market models with stochastic volatility (2005)Brownian Motion and Stochastic Calculus (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Efficient Simulation of the Heston Stochastic Volatility Model (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)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)Advanced Analytics for the SABR Model (2012)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

  • 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
  • 2006Moment explosions in stochastic volatility models403 cited
  • 2000Volatility skews and extensions of the Libor market model277 cited
  • 2000Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model156 cited
  • 2012Volatility and Correlation117 cited
  • 2003A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation72 cited
  • 2002A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE56 cited
  • 2003In the trenches. Convexity conundrums: Pricing CMS swaps, caps, and floors43 cited
  • 2003The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence39 cited
  • 1999On the pricing implications of the joint lognormal assumption for the swaption and cap markets32 cited

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