The LIBOR market model, also known as the BGM Model (Brace Gatarek Musiela Model, in reference to the names of some of the inventors) is a financialâ€¦Â (More)

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2008

2008

We present two approximation methods for pricing of CMS spread options in Libor market models. Both approaches are based onâ€¦Â (More)

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2008

2008

- Patrick N. Hagan, Andrew Lesniewski
- 2008

We propose and study the SABR/LMM model. This is a term structure model of interest rates with stochastic volatility that is aâ€¦Â (More)

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2006

2006

In this paper we extend the standard LIBOR market model to accommodate the pronounced phenomenon of implied volatility smilesâ€¦Â (More)

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2003

2003

- Alexandre d'Aspremont
- ArXiv
- 2003

When interest rate dynamics are described by the Libor Market Model as in Brace, Gatarek & Musiela (1997), we show how someâ€¦Â (More)

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2001

2001

- Mark Joshi, Riccardo Rebonato
- 2001

We present an extension of the LIBOR market model which allows for stochastic instantaneous volatilities of the forward rates inâ€¦Â (More)

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2001

2001

In a market model of forward interest rates, a specification of the volatility structure of the forward rates uniquely determinesâ€¦Â (More)

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2001

2001

URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market modelsâ€¦Â (More)

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1999

1999

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the â€˜Libor marketâ€™ modellingâ€¦Â (More)

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1999

1999

- Morten Bjerregaard Pedersen, SimCorp AS
- 1999

Bermudan swaptions have until recently been valued using only one-factor models such as the Black-Derman-Toy (BDT) or Blackâ€¦Â (More)

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Highly Cited

1999

Highly Cited

1999

This paper considers extensions of the Libor market model (Brace et al (1997), Jamshidian (1997), Miltersen et al (1997)) toâ€¦Â (More)

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