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LIBOR market model
Results: 31

#	Item
11	FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS MARK JOSHI AND CHAO YANG A BSTRACT. We present a fast method to price and hedge CMS spread options in the displaced-diffusion co-initial swap market Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:23:08 Mathematical finance Contract law Annuity Life annuity LIBOR market model Yield curve Option Derivative Swap Financial economics Investment Finance
12	MONTE CARLO MARKET GREEKS IN THE DISPLACED DIFFUSION LIBOR MARKET MODEL MARK S. JOSHI AND OH KANG KWON Abstract. The problem of developing sensitivities of exotic interest rates derivatives to the observed implied volati Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:23:08 Investment Interest rate cap and floor Swaption LIBOR market model Interest rate derivative Implied volatility Calibrated geometry Volatility Mathematical finance Financial economics Finance
13	PRACTICAL POLICY ITERATION: GENERIC METHODS FOR OBTAINING RAPID AND TIGHT BOUNDS FOR BERMUDAN EXOTIC DERIVATIVES USING MONTE CARLO SIMULATION CHRISTOPHER BEVERIDGE AND MARK JOSHI Abstract. We introduce a set of improveme Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:12:16 Randomness Mathematical finance Options Investment Numerical analysis Interest rate derivative LIBOR market model Control variates Iteration Financial economics Mathematical sciences Applied mathematics
14	Implied Correlations from Dynamic Condition Correlation Model Spread between 3-month U.S. dollar LIBOR and overnight index swap (OIS) and Emerging Market Sovereign Debt (EMBI+) Latin America Asia Europe Add to Reading List Source URL: www.imf.org - Date: 2009-04-17 14:01:42
15	Page 1 CMS-Spread Options and Correlation calibration \| June 26th, 2010 \| Matthias Lutz Efficient Pricing of CMS Spread Options in a Stochastic Volatility Libor Market Model Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 12:09:21 Stochastic volatility LIBOR market model Mathematical finance Financial economics Finance
16	Rating Based L´evy Libor Model Zorana Grbac Department of Math. Stochastics, University of Freiburg Joint work with Ernst Eberlein Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-18 18:47:26 LIBOR market model Libor Bond Interest rates Economics Mathematical finance
17	A Hybrid Market Model Calibration algorithm A Hybrid Commodity and Interest Rate Market Model Kay Pilz and Erik Schlögl Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-18 17:53:19 Interest rates Finance LIBOR market model Libor Forward contract Forward measure Exchange rate Economics Mathematical finance Financial economics
18	Implied Correlations from Dynamic Condition Correlation Model Spread between 3-month U.S. dollar LIBOR and overnight index swap (OIS) and Emerging Market Sovereign Debt (EMBI+) Latin America Asia Europe Add to Reading List Source URL: www.imf.org - Date: 2009-04-17 14:01:42
19	The Future is Convex Peter J¨ackel Atsushi Kawai First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2005-03-06 13:43:33 Economics LIBOR market model Heath–Jarrow–Morton framework Hull–White model Short-rate model Log-normal distribution Futures contract Normal distribution Yield curve Mathematical finance Financial economics Finance
20	Mind the cap Peter J¨ackel∗ First version: Last update: 2003 Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2004-10-10 07:03:14 Economics Interest rate cap and floor LIBOR market model Heath–Jarrow–Morton framework Log-normal distribution Normal distribution Hull–White model Volatility smile Interest rate derivative Mathematical finance Financial economics Finance

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