Common interests

The Libor Markov-functional model is an interest rate model designed for pricing derivatives with American-style early exercise features. It may be implemented as efficiently as the Vasicek-Hull-White model yet may be calibrated to vanilla option prices in the same spirit as the popular Libor market model. Michael Bennett and Joanne Kennedy demonstrate that the one-dimensional Libor Markov-functional model and the separable one-factor Libor market model are in fact very similar

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