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New and Robust Drift Approximations for the Libor Market Model
16 references·0 citing·34 second hop
New and Robust Drift Approximations for the Libor Market Model (2006)New and Robust Drift Approximations for t…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Getting the Drift (2006)Getting the DriftThe Concepts and Practice of Mathematical Finance (2004)The Concepts and Practice of …Fast drift-approximated pricing in the BGM model (2004)Fast drift-approximated prici…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond (2002)Modern Pricing of Interest-Ra…Pricing Models for Bermudan-style Interest Rate Derivatives (2001)Pricing Models for Bermudan-s…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Arbitrage-free discretization of lognormal forward Libor and swap rate models (2000)Arbitrage-free discretization…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…LIBOR and swap market models and measures (1997)LIBOR and swap market models …Continuous-time term structure models: Forward measure approach (1997)Continuous-time term structur…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…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)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)Commodity Price Dynamics (2011)Estimation methods for expected shortfall (2013)Numerical Solution of Stochastic Differential Equations (2016)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)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)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model (2000)The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2001)A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2008)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 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
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 2004The Concepts and Practice of Mathematical Finance271 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates163 cited
  • 1997Continuous-time term structure models: Forward measure approach160 cited
  • 2002Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond152 cited
  • 2000Arbitrage-free discretization of lognormal forward Libor and swap rate models76 cited
  • 2001Pricing Models for Bermudan-style Interest Rate Derivatives60 cited
  • 2004Fast drift-approximated pricing in the BGM model42 cited
  • 2006

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Getting the Drift
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