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Correlating Market Models

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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 105.

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Date of creation: 01 Jun 2003
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Handle: RePEc:uts:rpaper:105

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  1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
  2. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  3. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-30, March.
  4. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
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Cited by:
  1. Riccardo Rebonato, 2006. "Forward-Rate Volatilities And The Swaption Matrix: Why Neither Time-Homogeneity Nor Time-Dependence Are Enough," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 705-746.
  2. Hidetoshi Tanimura & Yuji Yamada, 2006. "An Efficient Calibration Method For The Multi-Factor Libor Market Model And Its Application To The Japanese Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(07), pages 1123-1139.
  3. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA.
  4. Ferdinando Ametrano & Mark Joshi, 2011. "Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 547-558.
  5. Fabio Mercurio, 2005. "Pricing inflation-indexed derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 289-302.

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