References
- Björk , T , Di Masi , G , Kabanov , Y and Runggaldier , W . 1997 . Towards a general theory of bond markets . Finan. Stochast. , 1 : 141 – 174 .
- Black , F . 1976 . The pricing of commodity contracts . J. Finan. Econ. , 3 : 167 – 179 .
- Brace , A , Ga¸tarek , D and Musiela , M . 1997 . The market model of interest rate dynamics . Math. Finan. , 7 : 127 – 155 .
- Eberlein , E , Glau , K and Papapantoleon , A . Analysis of valuation formulae and applications to exotic options in Lévy models . Preprint, TU Vienna (arXiv/0809.3405), 2008
- Eberlein , E , Jacod , J and Raible , S . 2005 . Lévy term structure models: no-arbitrage and completeness . Finan. Stochast. , 9 : 67 – 88 .
- Eberlein , E and Kluge , W . 2006a . Exact pricing formulae for caps and swaptions in a Lévy term structure model . J. Comput. Finan. , 9 : 99 – 125 .
- Eberlein , E and Kluge , W . 2006b . Valuation of floating range notes in Lévy term structure models . Math. Finan. , 16 : 237 – 254 .
- Eberlein , E and Kluge , W . 2007 . “ Calibration of Lévy term structure models ” . In Advances in Mathematical Finance: In Honor of Dilip B. Madan , Edited by: Fu , M , Jarrow , RA , Yen , J-Y and Elliott , RJ . 155 – 180 . Boston, MA : Birkhäuser .
- Eberlein , E and Özkan , F . 2005 . The Lévy LIBOR model . Finan. Stochast. , 9 : 327 – 348 .
- Eberlein , E and Raible , S . 1999 . Term structure models driven by general Lévy processes . Math. Finan. , 9 : 31 – 53 .
- Hagan , PS , Kumar , D , Lesniewski , AS and Woodward , DE . 2002 . Managing smile risk . Wilmott Mag. , 18 : 84 – 108 .
- Heath , D , Jarrow , R and Morton , A . 1992 . Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation . Econometrica , 60 : 77 – 105 .
- Henrard , M . Swaptions: 1 price, 10 deltas, and … 6 1/2 gammas . Working paper, 2005
- Hubalek , F , Papapantoleon , A and Siopacha , M . Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model . Preprint, TU Vienna, 2009
- Jacod , J and Shiryaev , AN . 2003 . Limit Theorems for Stochastic Processes , 2nd , Berlin : Springer .
- Jamshidian , F . 1997 . LIBOR and swap market models and measures . Finan. Stochast. , 1 : 293 – 330 .
- Keller-Ressel , M , Papapantoleon , A and Teichmann , J . A new approach to LIBOR modeling . Preprint, TU Vienna, 2009
- Kluge , W . 2005 . Time-inhomogeneous Lévy processes in interest rate and credit risk models. PhD thesis, , University of Freiburg .
- Miltersen , KR , Sandmann , K and Sondermann , D . 1997 . Closed form solutions for term structure derivatives with log-normal interest rates . J. Finan. , 52 : 409 – 430 .
- Papapantoleon , A . Applications of semimartingales and Lévy processes in finance: duality and valuation. PhD thesis University of Freiburg, 2007
- Raible , S . 2000 . Lévy processes in finance: theory, numerics, and empirical facts. , PhD thesis University of Freiburg .
- Sandmann , K , Sondermann , D and Miltersen , KR . 1995 . “ Closed form term structure derivatives in a Heath–Jarrow–Morton model with log-normal annually compounded interest rates ” . In Proceedings of the Seventh Annual European Futures Research Symposium , 145 – 165 . Chicago Board of Trade .
- Siopacha , M and Teichmann , J . Weak and strong Taylor methods for numerical solutions of stochastic differential equations . Preprint, TU Vienna (arXiv/0704.0745), 2007