搜索结果: 1-4 共查到“理论经济学 Libor”相关记录4条 . 查询时间(0.187 秒)
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
LIBOR market model L´ evy processes drift term Picard approximation option pricing caps swaptions annuities
2011/7/4
The LIBOR market model is very popular for pricing inter-
est rate derivatives, but is known to have several pitfalls. In addition, if
the model is driven by a jump process, then the complexity of t...
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
LIBOR models stochastic differential equations L´ evy pro-cesses perturbation Taylor approximation caps, swaptions
2010/11/1
In this article we develop a method for the strong approx-imation of stochastic differential equations (SDEs) driven by L´evy pro-cesses or general semimartingales. The main ingredients of our m...
Old and new approaches to LIBOR modeling
LIBOR rate LIBOR market model forward price model Markov-functional model affine LIBOR model
2010/11/2
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the fol-lowing frameworks: classical LIBOR market models, forward price mod-el...