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The Lévy LIBOR model

Citations

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Cited by:

  1. Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon, 2006. "Symmetries In Lévy Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 967-986.
  2. Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018. "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, vol. 22(3), pages 701-731, July.
  3. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2018. "Multiple curve L\'evy forward price model allowing for negative interest rates," Papers 1805.02605, arXiv.org.
  4. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
  5. Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "The affine LIBOR models," Papers 0904.0555, arXiv.org, revised Jul 2011.
  6. Belomestny, Denis & Matthew, Stanley & Schoenmakers, John G. M., 2007. "A stochastic volatility libor model and its robust calibration," SFB 649 Discussion Papers 2007-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in Levy term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 951-959.
  8. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2019. "Multiple curve Lévy forward price model allowing for negative interest rates," Post-Print hal-03898912, HAL.
  9. Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.
  10. Ming-Chieh Wang & Li-Jhang Huang, 2019. "Pricing cross-currency interest rate swaps under the Levy market model," Review of Derivatives Research, Springer, vol. 22(2), pages 329-355, July.
  11. Leippold, Markus & Strømberg, Jacob, 2014. "Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube," Journal of Financial Economics, Elsevier, vol. 111(1), pages 224-250.
  12. Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
  13. Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers 2011-22, Department of Economics and Business Economics, Aarhus University.
  14. L. Steinruecke & R. Zagst & A. Swishchuk, 2015. "The Markov-switching jump diffusion LIBOR market model," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 455-476, March.
  15. Denis Belomestny & John Schoenmakers, 2010. "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
  16. Antonis Papapantoleon & David Skovmand, 2010. "Picard Approximation of Stochastic Differential Equations and Application to Libor Models," CREATES Research Papers 2010-40, Department of Economics and Business Economics, Aarhus University.
  17. Antonis Papapantoleon & Maria Siopacha, 2009. "Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model," Papers 0906.5581, arXiv.org, revised Oct 2010.
  18. Antonis Papapantoleon & David Skovmand, 2010. "Picard approximation of stochastic differential equations and application to LIBOR models," Papers 1007.3362, arXiv.org, revised Jul 2011.
  19. Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
  20. Pan Tang & Belal E. Baaquie & Xin Du & Ying Zhang, 2016. "Linearized Hamiltonian of the LIBOR market model: analytical and empirical results," Applied Economics, Taylor & Francis Journals, vol. 48(10), pages 878-891, February.
  21. Marcel Ladkau & John G. M. Schoenmakers & Jianing Zhang, 2012. "Libor model with expiry-wise stochastic volatility and displacement," Papers 1204.5698, arXiv.org.
  22. Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 257-275, August.
  23. Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models," Papers 1106.0866, arXiv.org, revised Jan 2012.
  24. A. M. Ferreiro & J. A. Garc'ia & J. G. L'opez-Salas & C. V'azquez, 2024. "SABR/LIBOR market models: pricing and calibration for some interest rate derivatives," Papers 2408.01470, arXiv.org.
  25. David Criens & Kathrin Glau & Zorana Grbac, 2017. "Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models," Post-Print hal-03898993, HAL.
  26. Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 257-275.
  27. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
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