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Calibration and parameterization methods for the Libor Market Model

Calibration and parameterization methods for the Libor Market Model
Paper図書
Christoph HacklSpringer Gablerc2014
Other Libraries in Japan
  • Subject HeadingLIBOR market model
  • Subject Heading (ID)LIBOR market model

Holding bankers to account : a decade of market manipulation, regulatory failures and regulatory reforms : hardback

Holding bankers to account : a decade of market manipulation, regulatory failures and regulatory reforms : hardback
Paper図書
Oonagh McDonaldManchester University Press2019
Other Libraries in Japan
  • Subject Heading...sis, 2008-2009 LIBOR market model
  • Subject Heading (ID)...sis, 2008-2009 LIBOR market model

SABR and SABR LIBOR market models in practice : with examples implemented in Python

SABR and SABR LIBOR market models in practice : with examples implemented in Python
Paper図書
Christian Crispoldi, Gérald Wigger, Peter LarkinPalgrave Macmillan2015
Other Libraries in Japan
  • Subject Heading... -- Accounting LIBOR market model Python (Computer program lang...
  • Subject Heading (ID)... -- Accounting LIBOR market model Python (Computer program lang...

Modelling interest rates : advances in derivatives pricing : pbk

Modelling interest rates : advances in derivatives pricing : pbk
Paper図書
edited by Fabio MercurioRisk Books, a Division of Incisive Financialc2009
Other Libraries in Japan
  • Subject HeadingDerivative securities Interest rates -- Mathematical models LIBOR market model Financial futures
  • Subject Heading (ID)Derivative securities Interest rates -- Mathematical models LIBOR market model Financial futures

A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options

A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-734
Other Libraries in Japan
  • Subject HeadingCurrency option libor market model stochastic volatility asympto...

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
Paper文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-737
Other Libraries in Japan
  • Subject Heading...tic Volatility Libor Market Model Approximation Formula

A General Computation Scheme for a High-Order Asymptotic Expansion Method

A General Computation Scheme for a High-Order Asymptotic Expansion Method
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta, Toda, Masashi日本経済国際共同センター2011-02Discussion paper series. CIRJE-FCIRJE-F-787
Other Libraries in Japan
  • Subject Heading...y λ-SABR Model Libor Market Model Currency Options

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options
Paper文書・図像類
Takehara, Kohta, Toda, Masashi, Takahashi, Akihiko日本経済国際共同センター2010-07Discussion paper series. CIRJE-FCIRJE-F-753
Other Libraries in Japan
  • Subject Heading...tic Volatility Libor Market Model Currency Options JEL Classifi...

Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options

Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2008-01Discussion paper series. CIRJE-FCIRJE-F-538
Other Libraries in Japan
  • Subject HeadingCurrency option libor market model stochastic volatility asympto...

Specification and Test of Extended LIBOR Market Models

Specification and Test of Extended LIBOR Market Models
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-11CRR Working Paper, Series BB-3p.1-18
Other Libraries in Japan
  • Subject HeadingDiffusion process Empirical analysis Factor analysis LIBOR market model Specification Test

Asymptotic Expansion Approaches in Finance: Applications to Currency Options

Asymptotic Expansion Approaches in Finance: Applications to Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-654
Other Libraries in Japan
  • Subject Heading...rrency Options Libor Market Model Stochastic Volatility Varianc...

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-05CRR Working Paper, Series BB-4p.1-21
Other Libraries in Japan
  • Subject Heading...on model LIBOR LIBOR market model

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme
Paper文書・図像類
Takehara, Kohta, Takahashi, Akihiko, Toda, Masashi日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-728
Other Libraries in Japan
  • Subject Heading...y λ-SABR Model Libor Market Model Currency Options AMS Subject ...

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-08CRR Working Paper, Series BB-7p.1-21
Other Libraries in Japan
  • Subject Heading...on model LIBOR LIBOR market model Stochastic volatility
  • Note (General)...atility in the LIBOR market model should be replaced with a sto...

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