Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options-Reference-Cited by-同舟云学术

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Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Henrard Marc P. A.

Publisher

Elsevier BV

Reference21 articles.

1. Bond market model;R Baviera;International Journal of Theoretical and Applied Finance,2006

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

3. Chaos and coherence: a new framework for interest-rate modelling;D C Brody;Proc. R. Soc. Lond. A,2004

4. A fully log-normal Libor market model;A Daniluk;Risk,2001

5. Yes, Libor Models can Capture Interest Rate Derivatives Skew: A Simple Modelling Approach

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