Pricing with different volatility specifications in LIBOR
Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
... for pricing swap- tions and caps/floors under the Libor market model of interest rates (LMM) with the local and affine-type stochastic ...in pricing, one of which is so called “drift-freezing” that fixes ...
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Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
... for pricing swap- tions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic ...in pricing, one of which is so called “drift-freezing” that fixes ...
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"Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models"
... for pricing swap- tions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic ...in pricing, one of which is so called “drift-freezing” that fixes ...
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A PRACTITIONER’S GUIDE TO PRICING AND HEDGING CALLABLE LIBOR EXOTICS IN FORWARD LIBOR MODELS
... FORWARD LIBOR MODELS VLADIMIR V. PITERBARG Abstract. Callable Libor exotics is a class of single-currency interest-rate contracts that are Bermuda-style exercisable into underlying contracts consisting of ...
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An analysis of the Libor and Swap market models for pricing interest-rate derivatives
... In Chapters 3 and 4 we constructed the arbitrage-free, log-normal models i.e. the LMM and SMM for pricing caplets and swaptions, respectively using SDE's. In this chapter we imple- ment the LMM and SMM for ...
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Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
... and Pricing Results In table 9, we give the pricing results for the constant volatility ...large pricing errors for caplets in case of exact ...decreasing volatility function of the SMM ...
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Pricing Swaptions Under the LIBOR Market Model of Interest Rates With Local-Stochastic Volatility Models*
... Figure 1 and 2 plot the market and model-based caplet implied volatilities. These figures show that the model-based caplet implied volatilities generated by both the CEV-Heston LMM and the Quadratic-Heston LMM are fitted ...
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Characteristic function pricing with the Heston-LIBOR hybrid model
... Chapter 1 Introduction The pricing of contingent claims has become more sophisticated since the introduc- tion of Black-Scholes pricing techniques. As is often the case in modelling, when attempting to ...
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Extended Libor Market Models with Affine and Quadratic Volatility
... EXTENDED LIBOR MARKET MODELS WITH AFFINE AND QUADRATIC VOLATILITY CHRISTIAN Z ¨ UHLSDORFF A BSTRACT ...or Libor rates as log- normally distributed, their stochastic dynamics has a linear ...
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A Stochastic Volatility LIBOR Market Model with a Closed Form Solution
... renders pricing analytically challenging, although some tractable models have been developed as we will soon see one particular ...the volatility to be constant and then integrating with a measure given by ...
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Multiple stochastic volatility extension of the Libor market model and its implementation
... for different caplet ...stochastic volatility extension of a given (pre-calibrated) Libor market model which is suited for Monte Carlo sim- ulation of exotic interest rate ...swaption pricing ...
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A stochastic volatility Libor model and its robust calibration
... the Libor market interest rate model, research has grown immensely towards improved models that fit market quotes of standard interest rate products such as cap and swaption prices for different strikes and ...
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Uncertain volatility pricing in QuantLib
... Indexes: Similarly to the case of currencies, this directory contains the specifications for several indexes. The indexes coded range from equities to interest rates or inflation, all with the appropriate ...
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Natural volatility and option pricing
... implied volatility functions, and incorporate it into a new, superseding ...local volatility models based on their earlier local volatility ...implied volatility models, based on the ...
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Pricing derivatives with stochastic volatility
... Boyle ( 1977 ) introduced Monte Carlo simulation for pricing option value to finance field. As he claimed, Monte Carlo simulation has many obvious advantages. Firstly, the Monte Carlo method is very flexible with ...
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Option Pricing with Time Varying Volatility
... Conclusion ARCH models define conditional distributions for returns that are characterized by time-varying conditional variances. The parameters of these models can be estimated by maximizing the likelihood of observed ...
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Pricing variance swaps with stochastic volatility
... set. Different from the solution approach proposed by Broadie & Jain [2], which is primarily based on integrat- ing the underlying stochastic processes directly, we price discretely-sampled variance swaps based on ...
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Convertible Bond Pricing with Stochastic Volatility
... regarding different bond issues, their trading prices and ...of different options pricing models in a stock options ...in pricing short maturity derivatives, the longer maturity of convertible ...
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Essays in Asset Pricing and Volatility Risk
... stead of using the unconditional mean, now the good variance state is defined for the states in which industrial production is above its 75 percentile. Table 1.11 provides key results for this case and shows that the ...
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Distinguishing short and long memory volatility specifications
... We find that the length of the financial series plays an important role in deciding if long or short memory is present. Through a Monte Carlo study, we examine if the long or short memory of a simulated series can be ...
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