Listar1. Investigación por tema "SABR/LIBOR market models"
Mostrando ítems 1-4 de 4
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PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
(Elsevier, 2018-03-01)[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ... -
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
(Elsevier, 2014-09-01)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models ... -
Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
(Springer, 2017-09-20)[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ... -
Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
(Springer, 2015)[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ...