Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis-Reference-Cited by-同舟云学术

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Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Amin Ahsan

Publisher

Elsevier BV

Reference20 articles.

1. Bootstrapping the Illiquidity;F Ametrano;Modelling Interest Rates: Advances for Derivatives Pricing,2009

2. Volatile volatilities;L Andersen;Risk,2002

3. Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

4. The market model of interest rate dynamics;A Brace;Mathematical Finance,1997

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Libor Market Model with OIS-Discounting: Extension, Clarification and Valuation;SSRN Electronic Journal;2013

2. How Does Stochastic Basis Change Mean Reversion? A Study on Bermudan Swaptions;SSRN Electronic Journal;2013

3. Pricing Interest Rate Derivatives and Computing Pathwise Greeks in the Extended LIBOR Market Model;SSRN Electronic Journal;2013

4. Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR;SSRN Electronic Journal;2011

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