Libor market model (LMM)
Black basket analytics for mid-curves and spread options
A new solution to calibrate derivatives with multiple strikes is proposed
One-dimensional Markov-functional models driven by a non-Gaussian driver
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
Quants of the year: Andrei Lyashenko and Fabio Mercurio
Risk Awards 2020: Quants extend Libor market model to accommodate backward rates
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
Podcast: Mercurio and Henrard on the impact of Libor reform
Some derivatives products will become more complex if there are no forward rates, say quants
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
This paper presents a new numerical approach to solving high-dimensional partial differential equations that arise in the valuation of exotic derivative securities. The resulting numerical solutions are carefully compared in terms of accuracy and run…
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Cutting Edge introduction: Accuracy or speed?
Accuracy or speed?
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
CMS: covering all bases
CMS: covering all bases
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
Valuation of with-profit insurance policies with interest rate guarantees
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest…
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate