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LIBOR market model

Known as: Brace-Gatarek-Musiela model, Brace–Gatarek–Musiela model, BGM model 
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 financial… Expand
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Papers overview

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2011
2011
The post-credit crunch period has been characterized by non-negligible basis spreads between various rates that previously used… Expand
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Highly Cited
2009
Highly Cited
2009
We start by describing the major changes that occurred in the quotes of market rates after the 2007 subprime mortgage crisis. We… Expand
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Highly Cited
2008
Highly Cited
2008
Rock-mechanics experiments, geodetic observations of postloading strain transients, and micro- and macrostructural studies of… Expand
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2008
2008
We present four new methods for approximating the drift in the LIBOR market model when performing very long steps. These are… Expand
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2006
2006
Student Number : 0003819T - MSc dissertation - School of Computational and Applied Mathematics - Faculty of Science 
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Highly Cited
2006
Highly Cited
2006
Many seismic and magnetotelluric experiments within Tibet provide proxies for lithospheric temperature and lithology, and hence… Expand
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Highly Cited
2000
Highly Cited
2000
This article presents a number of new ideas concerned with implementation of the LIBOR market model and its extensions. It… Expand
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1999
1999
This paper extends the Libor market model to general semimartingales. Appealing simplifications occur for special semimartingales… Expand
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1999
1999
Bermudan swaptions have until recently been valued using only one-factor models such as the Black-Derman-Toy (BDT) or Black… Expand
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Highly Cited
1998
Highly Cited
1998
The paper considers extensions of the Libor market model to markets with volatility skews in observable option prices. The family… Expand
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