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Volatility skews and extensions of the Libor market model
16 references·16 citing·33 second hopsampled
Volatility skews and extensions of the Libor market model (2000)Volatility skews and extensions of the Li…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…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…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Stochastic Differential Equations (1995)Stochastic Differential Equat…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The pricing of commodity contracts (1976)The pricing of commodity cont…A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (2008)A NEW FRAMEWORK FOR DYNAMIC C…Structure preserving stochastic integration schemes in interest rate derivative modeling (2006)Structure preserving stochast…PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006)PRICING SWAPTIONS AND COUPON …Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)Fast strong approximation Mon…Extended Libor market models with stochastic volatility (2005)Extended Libor market models …On the martingale property of stochastic exponentials (2004)On the martingale property of…Lookback options and diffusion hitting times: A spectral expansion approach (2004)Lookback options and diffusio…Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market (2004)Limits of Arbitrage: Theory a…The Term Structure of Simple Forward Rates with Jump Risk (2003)The Term Structure of Simple …Numerical solution of jump-diffusion LIBOR market models (2003)Numerical solution of jump-di…A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (2003)A displaced-diffusion stochas…Pricing Swaptions Within an Affine Framework (2002)Pricing Swaptions Within an A…Pricing Models for Bermudan-style Interest Rate Derivatives (2001)Pricing Models for Bermudan-s…Factor dependence of Bermudan swaptions: fact or fiction? (2001)Factor dependence of Bermudan…Markov-functional interest rate models (2000)Markov-functional interest ra…A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)A simple approach to the pric…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Optimum consumption and portfolio rules in a continuous-time model (1971)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Does Option Compensation Increase Managerial Risk Appetite? 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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1995Stochastic Differential Equations

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384 cited

Cited by

  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
  • 2005Extended Libor market models with stochastic volatility163 cited
  • 2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited
  • 2006Fast strong approximation Monte Carlo schemes for stochastic volatility models145 cited
  • 2004Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market122 cited
  • 2004Lookback options and diffusion hitting times: A spectral expansion approach105 cited
  • 2008A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING89 cited
  • 2000Markov-functional interest rate models82 cited
  • 2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS81 cited
  • 2002Pricing Swaptions Within an Affine Framework75 cited
  • 2003A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation72 cited
  • 2003Numerical solution of jump-diffusion LIBOR market models71 cited
  • 2006Structure preserving stochastic integration schemes in interest rate derivative modeling65 cited
  • 2001Factor dependence of Bermudan swaptions: fact or fiction?63 cited
  • 2004On the martingale property of stochastic exponentials61 cited
  • 2001Pricing Models for Bermudan-style Interest Rate Derivatives60 cited