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LIBOR market model
Known as:
Brace-Gatarek-Musiela model
, Brace–Gatarek–Musiela model
, BGM model
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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…
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Related topics
Related topics
4 relations
Black model
Lattice model (finance)
Peter Jaeckel
Stochastic investment model
Papers overview
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Highly Cited
2011
Highly Cited
2011
LIBOR Market Model with Stochastic Basis
David Wakyiku
2011
Corpus ID: 155052659
The post-credit crunch period has been characterized by non-negligible basis spreads between various rates that previously used…
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2006
2006
The LIBOR Market Model
Nevena Šelić
2006
Corpus ID: 155707139
Student Number : 0003819T - MSc dissertation - School of Computational and Applied Mathematics - Faculty of Science
Highly Cited
2006
Highly Cited
2006
LIBOR market model with stochastic volatility
Lixin Wu
,
Fan Zhang
2006
Corpus ID: 17255268
In this paper we extend the standard LIBOR market model to accommodate the pronounced phenomenon of implied volatility smiles…
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Highly Cited
2006
Highly Cited
2006
Crustal flow in Tibet: geophysical evidence for the physical state of Tibetan lithosphere, and inferred patterns of active flow
S. Klemperer
Geological Society Special Publication
2006
Corpus ID: 73606450
Abstract Many seismic and magnetotelluric experiments within Tibet provide proxies for lithospheric temperature and lithology…
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Highly Cited
2005
Highly Cited
2005
Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations
M. Giles
,
P. Glasserman
2005
Corpus ID: 18679334
This paper presents an adjoint method to accelerate the calculation of Greeks by Monte Carlo simulation. The method calculates…
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2005
2005
Bond Market Model
R. Baviera
2005
Corpus ID: 55736977
We describe the Bond Market Model, a multi-factor interest rate term structure model where it is possible to price with Black…
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2004
2004
A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL
R. Rebonato
,
Dherminder Kainth
2004
Corpus ID: 8902464
We propose a two-regime stochastic volatility extension of the LIBOR market model that preserves the positive features of the…
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2003
2003
Fast Drift Approximated Pricing in the Bgm Model
Raoul Pietersz
,
A. Pelsser
,
M. V. van Regenmortel
2003
Corpus ID: 14746124
This paper shows that the forward rates process discretized by a single time step together with a separability assumption on the…
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Highly Cited
2000
Highly Cited
2000
Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model
J. Hull
,
Alan G. White
2000
Corpus ID: 2089373
This article presents a number of new ideas concerned with implementation of the LIBOR market model and its extensions. It…
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Highly Cited
1999
Highly Cited
1999
Libor Market Model With Semimartingales
F. Jamshidian
1999
Corpus ID: 150828320
This paper extends the Libor market model to general semimartingales. Appealing simplifications occur for special semimartingales…
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