Libor Market Model Calibration & Risk-Management Alexandre d’Aspremont U.C. Berkeley

Source URL: www.di.ens.fr

An Empirical Analysis of the Swaption Cube Anders B. Trolle Ecole Polytechnique F´ed´erale de Lausanne and Swiss Finance Institute Eduardo S. Schwartz UCLA Anderson School of Management and NBER Abstract

Source URL: www.istfin.eco.usi.ch

• Mathematical finance
• Options
• Swaption
• Interest rate derivative
• LIBOR market model
• Interest rate swap
• Interest rate cap and floor
• Volatility
• Swap
• Derivative
• Range accrual
• Implied volatility

Mathematical Finance, Vol. 13, No. 3 (July 2003), 383–410 THE TERM STRUCTURE OF SIMPLE FORWARD RATES WITH JUMP RISK PAUL GLASSERMAN Graduate School of Business, Columbia University, New York

Source URL: www.rmi.nus.edu.sg

• Mathematical finance
• Options
• Fixed income analysis
• Interest rates
• HeathJarrowMorton framework
• Stochastic volatility
• Volatility
• Interest rate cap and floor
• Compound Poisson process
• Black model
• Short-rate model
• LIBOR market model

DELFT UNIVERSITY OF TECHNOLOGY REPORTOn Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates Lech A. Grzelak, Cornelis W. Oosterlee

Source URL: www.ewi.tudelft.nl

• Mathematical sciences
• Hull–White model
• Heath–Jarrow–Morton framework
• Normal distribution
• LIBOR market model
• Short-rate model
• Forward measure
• Heston model
• Stochastic volatility
• Mathematical finance
• Statistics
• Financial economics

DELFT UNIVERSITY OF TECHNOLOGY REPORTAn Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile Lech A. Grzelak, Cornelis W. Oosterlee

Source URL: www.ewi.tudelft.nl

• Finance
• Hull–White model
• LIBOR market model
• Heston model
• Stochastic volatility
• Local volatility
• Short-rate model
• Forward measure
• Cox–Ingersoll–Ross model
• Mathematical finance
• Financial economics
• Statistics

S YLLABUS F IXED I NCOME C T EACHER A FFILIATION

Source URL: www.carloalberto.org

• Economics
• Heath–Jarrow–Morton framework
• LIBOR market model
• Interest rate derivative
• Short-rate model
• Yield curve
• Swaption
• Bond valuation
• Quantitative analyst
• Mathematical finance
• Financial economics
• Finance

KOODERIVE: MULTI-CORE GRAPHICS CARDS, THE LIBOR MARKET MODEL, LEAST-SQUARES MONTE CARLO AND THE PRICING OF CANCELLABLE SWAPS MARK S. JOSHI Abstract. We discuss the pricing of cancellable swaps using the displaced diffusi

Source URL: fbe.unimelb.edu.au

• Economics
• Graphics hardware
• GPGPU
• Interest rates
• Options
• CUDA
• LIBOR market model
• Yield curve
• Risk-neutral measure
• Financial economics
• Mathematical finance
• Finance

INTERPOLATION SCHEMES IN THE DISPLACED-DIFFUSION LIBOR MARKET MODEL AND THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS CHRISTOPHER BEVERIDGE AND MARK JOSHI Abstract. We introduce a new arbitra

Source URL: fbe.unimelb.edu.au

• Investment
• Mathematical finance
• Options
• Range accrual
• Bonds
• Interest rate derivative
• T1
• Yield curve
• Zero-coupon bond
• Financial economics
• Economics
• Finance

Efficient pricing and Greeks in the cross-currency LIBOR market model Chris J. Beveridge, Mark S. Joshi and Will M. Wright The University of Melbourne October 14, 2010

Source URL: fbe.unimelb.edu.au

• Interest rates
• Foreign exchange market
• Mathematical finance
• International finance
• Foreign-exchange option
• Forward exchange rate
• Hull–White model
• Power reverse dual currency note
• Exchange rate
• Economics
• Finance
• Financial economics

VEGA CONTROL NICK DENSON AND MARK JOSHI Abstract. The calculation of prices and sensitivities of exotic interest rate derivatives in the LIBOR market model is often very time consuming. One approach that has been previou

Source URL: fbe.unimelb.edu.au

• Financial economics
• Mathematical sciences
• Mathematical finance
• Markov model
• Statistics