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The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
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The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives (2009)The SABR/LIBOR Market Model: Pricing, Cal…Exact Simulation of the SABR Model (2017)Exact Simulation of the SABR …The Free Boundary SABR: Natural Extension to Negative Rates (2015)The Free Boundary SABR: Natur…The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (2013)The nature of the dependence …A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (2012)A LOW-BIAS SIMULATION SCHEME …LIBOR Market Models with Stochastic Basis (2010)LIBOR Market Models with Stoc…Efficient Simulation of the Heston Stochastic Volatility Model (2006)Mathematical Methods for Financial Markets (2009)Mathematical Methods for Financial Markets (2010)Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (2019)The pricing of commodity contracts (1976)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Prices of State-Contingent Claims Implicit in Option Prices (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Market Model of Interest Rate Dynamics (1997)Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask (2013)Parsimonious HJM modelling for multiple yield curve dynamics (2013)A general HJM framework for multiple yield curve modelling (2016)Handbook of Brownian Motion - Facts and Formulae (2002)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Deep Learning Volatility (2019)Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations (2020)The Pricing of Options on Assets with Stochastic Volatilities (1987)Brownian Motion and Stochastic Calculus (2007)Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model (2018)A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process (2019)
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Cited by

  • 2010LIBOR Market Models with Stochastic Basis71 cited
  • 2012A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL53 cited
  • 2017Exact Simulation of the SABR Model52 cited
  • 2015The Free Boundary SABR: Natural Extension to Negative Rates39 cited
  • 2013The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship32 cited

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