Dominique Bang introduces a novel LSV approach to term distribution modelling
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
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.
Differential rates, differential prices
The cost of liquidation