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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...
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structu...
Picard approximation of stochastic differential equations and application to LIBOR models
Picard approximation stochastic differential equations application LIBOR models
2010/10/21
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic di...
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the L\'evy LIBOR model of Eberlein and \"Ozkan (2005). Standard methods can be...
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...