1. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany. [Downloadable!]
2. Bruce Choy & Tim Dun & Erik Schlögl, 2003. "Correlating Market Models," Research Paper Series 105, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
3. Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
4. Juan M. Moraleda & Ton Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute. [Downloadable!]
5. Antonis Papapantoleon, 2009. "Old and new approaches to LIBOR modeling," Quantitative Finance Papers 0910.4941, arXiv.org, revised Jan 2010. [Downloadable!]
6. Jesús P. Colino & Winfried Stute, 2008. "Credit risk with semimartingales and risk-neutrality," Statistics and Econometrics Working Papers ws085417, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
7. Christian Zühlsdorff, 2002. "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers bgse5_2002, University of Bonn, Germany. [Downloadable!]
8. Denis Belomestny & Stanley Matthew & John Schoenmakers, 2007. "A stochastic volatility Libor model and its robust calibration," SFB 649 Discussion Papers SFB649DP2007-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
9. Maria Siopacha & Josef Teichmann, 2007. "Weak and Strong Taylor methods for numerical solutions of stochastic differential equations," Quantitative Finance Papers 0704.0745, arXiv.org. [Downloadable!]
10. Sandra Peterson & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-078, New York University, Leonard N. Stern School of Business-. [Downloadable!]
11. Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
    • Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196. [Downloadable!] (restricted)
12. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in L\'evy term structure models," Quantitative Finance Papers 0902.3456, arXiv.org. [Downloadable!]
13. Mark Davis & Vicente Mataix-Pastor, 2007. "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, vol. 11(2), pages 181-193, April. [Downloadable!] (restricted)
14. Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006. "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, vol. 2(3), pages 303-325, July. [Downloadable!] (restricted)
15. Damiano Brigo & Jan Liinev, 2005. "On the distributional distance between the lognormal LIBOR and swap market models," Quantitative Finance, Taylor and Francis Journals, vol. 5(5), pages 433-442, October. [Downloadable!] (restricted)
16. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
17. P. A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
18. Christian Zühlsdorff, 2002. "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers bgse6_2002, University of Bonn, Germany. [Downloadable!]
19. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
    Other versions:
    • Pietersz, R. & Regenmortel, M. van, 2005. "Generic Market Models," Research Paper ERS-2005-010-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
20. Schönbucher, Philpp J., . "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999. [Downloadable!]
21. Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999. [Downloadable!]
    Other versions:
    • A. Dudenhausen & Erik Schlögl & L. Schlögl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series 19, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
22. Sami Järvinen & Harri Toivonen, 2004. "Pricing European commodity swaptions," Applied Economics Letters, Taylor and Francis Journals, vol. 11(15), pages 925-929, December. [Downloadable!] (restricted)
23. Goldys, B. & M. Musiela & D. Sondermann, 1996. "Lognormality of Rates and Term Structure Models," Discussion Paper Serie B 394, University of Bonn, Germany. [Downloadable!]
24. Christian Zuhlsdorff, 2001. "The pricing of derivatives on assets with quadratic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(4), pages 235-262, December. [Downloadable!] (restricted)
25. Kerkhof, F.L.J. & Pelsser, A., 2002. "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper 2002-28, Tilburg University, Center for Economic Research. [Downloadable!]
26. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-. [Downloadable!]
27. Marek Rutkowski, 1997. "A note on the Flesaker-Hughston model of the term structure of interest rates," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(3), pages 151-163, September. [Downloadable!] (restricted)
28. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 69-121, March. [Downloadable!] (restricted)
29. Jong, F.C.J.M. de & Driessen, J. & Pelsser, A., 2004. "On the information in the interest rate term structure and option prices," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3159390, Tilburg University. [Downloadable!]
30. Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
31. Musiela, Marek & Marek Rutkowski, 1996. "Continuous-Time Term Structure Models," Discussion Paper Serie B 377, University of Bonn, Germany. [Downloadable!]
32. Henrard, Marc, 2007. "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper 1534, University Library of Munich, Germany. [Downloadable!]
33. Jong, F.C.J.M. de & Driessen, J.J.A.G. & Pelsser, A., 2000. "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis," Discussion Paper 2000-35, Tilburg University, Center for Economic Research. [Downloadable!]
34. Leif Andersen, Jesper Andreasen, 2000. "Volatility skews and extensions of the Libor market model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(1), pages 1-32, March. [Downloadable!] (restricted)
35. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics. [Downloadable!]
36. Anders B. Trolle & Eduardo S. Schwartz, 2006. "A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives," NBER Working Papers 12337, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
37. Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "A new approach to LIBOR modeling," Quantitative Finance Papers 0904.0555, arXiv.org, revised Feb 2010. [Downloadable!]
38. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA. [Downloadable!]
    Other versions:
    • Pietersz, R. & Groenen, P.J.F., 2004. "Rank reduction of correlation matrices by majorization," Econometric Institute Report EI 2004-11 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
39. Kay Pilz & Erik Schlögl, 2009. "A Hybrid Commodity and Interest Rate," Research Paper Series 261, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
40. Christian Zuehlsdorff, 1999. "The Pricing of Derivatives on Assets with Quadratic Volatility," Discussion Paper Serie B 451, University of Bonn, Germany. [Downloadable!]
41. Jensen, Malene Shin & Svenstrup, Mikkel, 2002. "Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model," Finance Working Papers 02-23, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
42. Marek Rutkowski, 1999. "Models of forward Libor and swap rates," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(1), pages 29-60, March. [Downloadable!] (restricted)
43. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society. [Downloadable!]
44. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA. [Downloadable!]
    Other versions:
    • Pietersz, R. & Pelsser, A.A.J., 2003. "Risk managing bermudan swaptions in the libor BGM model," Econometric Institute Report EI 2003-33 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
45. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December. [Downloadable!] (restricted)
46. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance 0207010, EconWPA, revised 05 Sep 2002. [Downloadable!]
47. Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics. [Downloadable!]
48. Christiansen, Charlotte, 2001. "Long Maturity Forward Rates," Finance Working Papers 01-12, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
49. Kokholm, Thomas, 2008. "Pricing of Traffic Light Options and other Correlation Derivatives," Finance Research Group Working Papers F-2008-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
50. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
    Other versions:
    • Pelsser, Antoon, 2003. "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 283-296, October. [Downloadable!] (restricted)
51. Erik Schlögl, 2002. "Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices," Research Paper Series 79, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
52. Ernst Eberlein & Nataliya Koval, 2006. "A cross-currency Lévy market model," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 465-480, December. [Downloadable!] (restricted)
53. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, EconWPA. [Downloadable!]
54. Tim Dunn & Erik Schlögl & Geoff Barton, 2000. "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series 40, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
55. Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers bgse15_2001, University of Bonn, Germany. [Downloadable!]

This page was last updated on 2010-3-8.