LIBOR market model - PDFSEARCH.IO - Document Search Engine

LIBOR market model
Results: 31

#	Item
21	An asymptotic FX option formula in the cross currency Libor market model Atsushi Kawai∗ First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2007-02-03 07:02:49 LIBOR market model Monte Carlo methods in finance Finance Foreign-exchange option Mathematical finance Financial economics Options
22	The Link between Caplet and Swaption Volatilities in a BGM/J Framework: Approximate Solutions and Empirical Evidence Peter J¨ackel∗ Riccardo Rebonato† July 18th , 2002 Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2002-07-18 12:33:40 Economics Swaption Volatility Yield curve LIBOR market model Derivative Swap rate Option Interest rate cap and floor Financial economics Mathematical finance Finance
23	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
24	LIST OF PAPERS: MARK S. JOSHI Books (1) M.S. Joshi, the Concepts and Practice of Mathematical Finance, Dec 2003, Cambridge University Press, second edition November[removed]M.S. Joshi, C++ Design Patterns and Derivative Add to Reading List Source URL: www.markjoshi.com Language: English - Date: 2014-05-01 22:09:40 Mathematical sciences Mark S. Joshi Quantitative analyst Monte Carlo methods in finance Option Joshi LIBOR market model Computational finance Interest rate derivative Mathematical finance States and territories of India Financial economics
25	Mind the cap Peter J¨ackel∗ First version: Last update: 2003 Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:15 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
26	The Link between Caplet and Swaption Volatilities in a BGM/J Framework: Approximate Solutions and Empirical Evidence Peter J¨ackel∗ Riccardo Rebonato† July 18th , 2002 Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:13 Economics Swaption Volatility Yield curve LIBOR market model Derivative Swap rate Option Interest rate cap and floor Financial economics Mathematical finance Finance
27	An asymptotic FX option formula in the cross currency Libor market model Atsushi Kawai∗ First version: This version: Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:24:35 LIBOR market model Monte Carlo methods in finance Finance Foreign-exchange option Mathematical finance Financial economics Options
28	The Future is Convex Peter J¨ackel Atsushi Kawai First version: This version: Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:50 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
29	Bibliography [1] C. Alexander, Principal component analysis of implied volatility and skews, ISMA Centre Discussion Paper in Finance 2000–[removed]C. Alexander, Market Models: a Guide to Financial Data Analysis, Wiley, Add to Reading List Source URL: www.markjoshi.com Language: English - Date: 2009-01-27 19:13:55 Finance Swaption Monte Carlo methods in finance Black–Scholes Implied volatility Interest rate derivative LIBOR market model Stochastic volatility Model risk Mathematical finance Financial economics Options
30	5. Short rate models Andrew Lesniewski March 3, 2008 Add to Reading List Source URL: www.math.nyu.edu Language: English - Date: 2008-03-10 13:48:17 Financial economics Fixed income analysis Mathematical sciences Stochastic processes Hull–White model Heath–Jarrow–Morton framework Short-rate model LIBOR market model Vasicek model Mathematical finance Statistics Interest rates

UPDATE