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Applied Mathematical Finance Volume 7, 2000 - Issue 1
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Original Articles

Volatility skews and extensions of the Libor market model

Leif Andersen General Re Financial Products
&
Jesper Andreasen General Re Financial Products
Pages 1-32 | Published online: 14 Oct 2010

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J. H. Hoencamp, J. P. de Kort & B. D. Kandhai. (2022) The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives. Applied Mathematical Finance 29:2, pages 141-179.
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Robert Matthijs Verschuren. (2020) Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model. Quantitative Finance 20:7, pages 1123-1148.
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Pan Tang, Belal E. Baaquie, Xin Du & Ying Zhang. (2016) Linearized Hamiltonian of the LIBOR market model: analytical and empirical results. Applied Economics 48:10, pages 878-891.
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Eymen Errais. (2015) Chasing market dislocation: The LIBOR shifted model. International Journal of Management Science and Engineering Management 10:4, pages 260-272.
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L. Steinruecke, R. Zagst & A. Swishchuk. (2015) The Markov-switching jump diffusion LIBOR market model. Quantitative Finance 15:3, pages 455-476.
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Junwu Gan. (2014) An almost Markovian LIBOR market model calibrated to caps and swaptions. Quantitative Finance 14:11, pages 1937-1959.
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António Câmara & Ana Câmara. (2012) Forward-neutral valuation relationships for options on zero coupon bonds. Quantitative Finance 12:8, pages 1241-1252.
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LechA. Grzelak & CornelisW. Oosterlee. (2012) On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. Applied Mathematical Finance 19:1, pages 1-35.
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Sami Attaoui. (2011) Hedging performance of the Libor market model: the cap market case. Applied Financial Economics 21:16, pages 1215-1223.
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Simona Svoboda-Greenwood. (2009) Displaced Diffusion as an Approximation of the Constant Elasticity of Variance. Applied Mathematical Finance 16:3, pages 269-286.
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Lixin Wu & Fan Zhang. (2008) Fast swaption pricing under the market model with a square-root volatility process. Quantitative Finance 8:2, pages 163-180.
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Christian Kahl & Peter Jäckel. (2006) Fast strong approximation Monte Carlo schemes for stochastic volatility models. Quantitative Finance 6:6, pages 513-536.
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David Heath & Eckhard Platen. (2006) Local volatility function models under a benchmark approach. Quantitative Finance 6:3, pages 197-206.
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Mark S Joshi & Riccardo Rebonato. (2003) A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation. Quantitative Finance 3:6, pages 458-469.
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John Knight, Stephen Satchell & Guoqiang Wang. (2003) Value at risk linear exponent (VARLINEX) forecasts. Quantitative Finance 3:4, pages 332-344.
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D. Brigo & F. Mercurio. (2003) Analytical pricing of the smile in a forward LIBOR market model. Quantitative Finance 3:1, pages 15-27.
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Atsushi Kawai. (2003) A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach. Applied Mathematical Finance 10:1, pages 49-74.
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David Heath & Eckhard Platen. (2002) Consistent pricing and hedging for a modified constant elasticity of variance model. Quantitative Finance 2:6, pages 459-467.
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Christian Zuhlsdorff. (2001) The pricing of derivatives on assets with quadratic volatility. Applied Mathematical Finance 8:4, pages 235-262.
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