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A LIBOR Market Model with Stochastic Basis · Study

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PreprintA LIBOR Market Model with Stochastic Basis

Fabio Mercurio2010

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Preprintgreen2010

A LIBOR Market Model with Stochastic Basis

42 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007The Impact of Collateralization on Swap Rates 2009Interest Rates and The Credit Crunch: New Formulas and Market Models 2009A multi-quality model of interest rates 2009A Note on Construction of Multiple Swap Curves with and without Collateral 2005Stochastic Volatility Model with Time‐dependent Skew 2009Solving the Puzzle in the Interest Rate Market 2010LIBOR Market Models with Stochastic Basis

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2014A General HJM Framework for Multiple Yield Curve Modeling 2018Affine multiple yield curve models 2010Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management

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2010LIBOR Market Models with Stochastic Basispreprint · 7 shared references 2010Interest-Rate Modeling with Multiple Yield Curvespreprint · 5 shared references 2014On Multicurve Models for the Term Structurechapter · 5 shared references 2013Parsimonious HJM modelling for multiple yield curve dynamicsarticle · 4 shared references 2016A general HJM framework for multiple yield curve modellingarticle · 4 shared references 2012A multiple-curve HJM model of interbank riskarticle · 4 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1583081

openalex_workW4248300845

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