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A LIBOR Market Model with Stochastic Basis
14 references·3 citing·31 second hop
A LIBOR Market Model with Stochastic Basis (2010)A LIBOR Market Model with Stochastic BasisUniversal Smiles (2016)Universal SmilesMODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (2010)MODERN LIBOR MARKET MODELS: U…LIBOR Market Models with Stochastic Basis (2010)LIBOR Market Models with Stoc…Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves (2009)Two Curves, One Price: Pricin…The Irony in the Derivatives Discounting Part II: The Crisis (2009)The Irony in the Derivatives …Solving the Puzzle in the Interest Rate Market (2009)Solving the Puzzle in the Int…Interest Rates and The Credit Crunch: New Formulas and Market Models (2009)Interest Rates and The Credit…A Note on Construction of Multiple Swap Curves with and without Collateral (2009)A Note on Construction of Mul…A multi-quality model of interest rates (2009)A multi-quality model of inte…A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies (2009)A Market Model of Interest Ra…The Impact of Collateralization on Swap Rates (2007)The Impact of Collateralizati…LIBOR market model with stochastic volatility (2006)LIBOR market model with stoch…Stochastic Volatility Model with Time‐dependent Skew (2005)Stochastic Volatility Model w…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Affine multiple yield curve models (2018)Affine multiple yield curve m…A General HJM Framework for Multiple Yield Curve Modeling (2014)A General HJM Framework for M…Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management (2010)Collateral Posting and Choice…The Market Model of Interest Rate Dynamics (1997)Interest rate models : theory and practice : with smile, inflation and credit (2006)Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure* (2011)Valuation and Hedging of Contracts with Funding Costs and Collateralization (2015)A general HJM framework for multiple yield curve modelling (2016)Introduction and Summary of Results (Excerpt) (2000)The Term Structure of Implied Volatility (2000)Option valuation under stochastic volatility: with mathematica code (2002)Markovian Projection Method for Volatility Calibration (2006)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Parsimonious HJM modelling for multiple yield curve dynamics (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Modeling Term Structures of Defaultable Bonds (1999)Identification of Maximal Affine Term Structure Models (2008)Can interest rate volatility be extracted from the cross section of bond yields?☆ (2009)Linear‐Rational Term Structure Models (2016)Prices of State-Contingent Claims Implicit in Option Prices (1978)Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask (2013)On cox processes and credit risky securities (1998)Risky Funding: A Unified Framework for Counterparty and Liquidity Charges (2010)Pricing Interest-Rate-Derivative Securities (1990)A multiple-curve HJM model of interbank risk (2012)Stochastic Local Volatility (2008)THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL (2010)Asymptotics of Implied Volatility to Arbitrary Order (2011)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007The Impact of Collateralization on Swap Rates126 cited
  • 2009Interest Rates and The Credit Crunch: New Formulas and Market Models118 cited
  • 2009A multi-quality model of interest rates105 cited
  • 2009A Note on Construction of Multiple Swap Curves with and without Collateral87 cited
  • 2005Stochastic Volatility Model with Time‐dependent Skew85 cited
  • 2009Solving the Puzzle in the Interest Rate Market85 cited
  • 2010LIBOR Market Models with Stochastic Basis71 cited
  • 2010MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING64 cited
  • 2016Universal Smiles64 cited
  • 2006LIBOR market model with stochastic volatility62 cited
  • 2009The Irony in the Derivatives Discounting Part II: The Crisis53 cited
  • 2009A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies44 cited
  • 2009Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves43 cited

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  • 2014

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A General HJM Framework for Multiple Yield Curve Modeling
40 cited
  • 2018Affine multiple yield curve models37 cited
  • 2010Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management23 cited