LIBOR market model

Known as: BGM model, Brace-Gatarek-Musiela model, Brace–Gatarek–Musiela 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… (More)
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Topic mentions per year

Topic mentions per year

1984-2017
0246819842017

Papers overview

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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 on… (More)
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2008
2008
We propose and study the SABR/LMM model. This is a term structure model of interest rates with stochastic volatility that is a… (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 smiles… (More)
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2003
2003
When interest rate dynamics are described by the Libor Market Model as in Brace, Gatarek & Musiela (1997), we show how some… (More)
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2001
2001
We present an extension of the LIBOR market model which allows for stochastic instantaneous volatilities of the forward rates in… (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 determines… (More)
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2001
2001
URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market models… (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 ‘Libor market’ modelling… (More)
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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… (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)) to… (More)
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