Les modèles HJM et LMM revisités
AbstractIn this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an exhaustive elaboration of the developments of these models. Finally, we discuss the evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more advanced versions like the SV Cheyette model.
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Bibliographic InfoPaper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp042006.
Length: 39 pages
Date of creation: 03 Jan 2006
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derivatives; financial engineering; asset valuation; computational finance.;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-11 (All new papers)
- NEP-BEC-2006-03-11 (Business Economics)
- NEP-CMP-2006-03-11 (Computational Economics)
- NEP-FIN-2006-03-11 (Finance)
- NEP-FMK-2006-03-11 (Financial Markets)
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