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  1. THEORY AND CALIBRATION OF SWAP MARKET MODELS

    Mathematical Finance

    Volume 17, Issue 1, January 2007, Pages: 111–141, S. Galluccio, J.-M. Ly, Z. Huang and O. Scaillet

    Article first published online : 14 DEC 2006, DOI: 10.1111/j.1467-9965.2007.00296.x

  2. Swaptions in Libor Market Model with local volatility

    Wilmott Journal

    Volume 2, Issue 3, June 2010, Pages: 135–154, Marc Henrard

    Article first published online : 22 JUN 2010, DOI: 10.1002/wilj.32

  3. THE AFFINE LIBOR MODELS

    Mathematical Finance

    Volume 23, Issue 4, October 2013, Pages: 627–658, Martin Keller-Ressel, Antonis Papapantoleon and Josef Teichmann

    Article first published online : 14 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00531.x

  4. Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

    The Journal of Finance

    Volume 58, Issue 5, October 2003, Pages: 2219–2248, Rong Fan, Anurag Gupta and Peter Ritchken

    Article first published online : 11 SEP 2003, DOI: 10.1111/1540-6261.00603

  5. Local calibration of separable BGM models and finite difference pricing of Libor and CMS spread based exotics

    Wilmott Journal

    Volume 1, Issue 2, April 2009, Pages: 109–120, Leslie Ng

    Article first published online : 18 MAY 2009, DOI: 10.1002/wilj.8

  6. The Market Model of Interest Rate Dynamics

    Mathematical Finance

    Volume 7, Issue 2, April 1997, Pages: 127–155, Alan Brace, Dariusz G¸atarek and Marek Musiela

    Article first published online : 5 JAN 2002, DOI: 10.1111/1467-9965.00028

  7. A Random Field LIBOR Market Model

    Journal of Futures Markets

    Volume 34, Issue 6, June 2014, Pages: 580–606, Tao L. Wu and Shengqiang Xu

    Article first published online : 19 MAR 2014, DOI: 10.1002/fut.21654

  8. Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

    Journal of Futures Markets

    Volume 33, Issue 9, September 2013, Pages: 827–867, Jui-Jane Chang, Son-Nan Chen and Ting-Pin Wu

    Article first published online : 11 JUN 2012, DOI: 10.1002/fut.21567

  9. You have free access to this content
    Bibliography

    Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

    Massimo Morini, Pages: 409–415, 2012

    Published Online : 23 MAY 2012, DOI: 10.1002/9781118467312.biblio

  10. Stochastic Volatilities and Correlations of Bond Yields

    The Journal of Finance

    Volume 62, Issue 3, June 2007, Pages: 1491–1524, BING HAN

    Article first published online : 8 MAY 2007, DOI: 10.1111/j.1540-6261.2007.01242.x

  11. Market Models

    Standard Article

    Encyclopedia of Actuarial Science

    Antoon Pelsser

    Published Online : 15 SEP 2006, DOI: 10.1002/9780470012505.tam005

  12. You have free access to this content
    Front Matter

    The LIBOR Market Model in Practice

    Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk, Pages: i–xx, 2013

    Published Online : 15 APR 2013, DOI: 10.1002/9781118673348.fmatter

  13. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

    The Journal of Finance

    Volume 56, Issue 6, December 2001, Pages: 2067–2109, Francis A. Longstaff, Pedro Santa-Clara and Eduardo S. Schwartz

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00399

  14. PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS

    Mathematical Finance

    João Pedro Vidal Nunes and Pedro Miguel Silva Prazeres

    Article first published online : 7 FEB 2013, DOI: 10.1111/mafi.12019

  15. PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

    Mathematical Finance

    Volume 16, Issue 4, October 2005, Pages: 673–694, David F. Schrager and Antoon A. J. Pelsser

    Article first published online : 1 SEP 2006, DOI: 10.1111/j.1467-9965.2006.00289.x

  16. Fixed-Income Derivatives II: LIBOR Market Models

    Handbook of Financial Risk Management: Simulations and Case Studies

    N.H. Chan, H.Y. Wong, Pages: 217–253, 2013

    Published Online : 21 JUN 2013, DOI: 10.1002/9781118573570.ch6

  17. Approximations

    Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

    Massimo Morini, Pages: 243–286, 2012

    Published Online : 23 MAY 2012, DOI: 10.1002/9781118467312.ch6

  18. Libor Market Model

    Standard Article

    Encyclopedia of Quantitative Finance

    Leif B.G. Andersen and Vladimir V. Piterbarg

    Published Online : 15 MAY 2010, DOI: 10.1002/9780470061602.eqf11031

  19. You have free access to this content
    Bibliography

    Volatility and Correlation: The Perfect Hedger and the Fox, Second Edition

    Riccardo Rebonato, Pages: 805–812, 2013

    Published Online : 15 APR 2013, DOI: 10.1002/9781118673539.biblio

  20. Efficient Monte Carlo Simulation of the Delta Vector of a Bermudian Swaption in the LIBOR Market Model

    Wilmott

    Volume 2012, Issue 62, November 2012, Pages: 54–63, Ralf Korn and Qian Ling

    Article first published online : 30 JAN 2013, DOI: 10.1002/wilm.10166