Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models
that can be used for valuing and managing interest rate derivatives. Split into two parts, the …

We introduce a general class of interest rate models in which the value of pure discount
bonds can be expressed as a functional of some (low-dimensional) Markov process. At the …

In this paper, LIBOR market models with a number of factors ranging from 1 to 10 are
studied. The emphasis throughout is on the implications for term structure modeling and …

This paper considers the optimal switching problem and the optimal multiple stopping
problem for one-dimensional Markov processes in a finite horizon discrete time framework …

In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap written on
an underlying LIBOR. The chooser flexible cap allows a right for a buyer to exercise a limited …

In this article, we present properties of a chooser flexible cap, which is used for hedging
interest rate risk. The chooser flexible cap is a financial instrument written on an underlying …

This paper studies the effect of forward rate correlations on caplet and swaption prices. A
two-factor HJM lognormal model of forward rates that implies a realistic covariance matrix of …

In this paper, we theoretically look into various features of a chooser flexible cap. The
chooser flexible cap is a financial instrument written on an underlying market interest rate …

Interest rate caps and floors with barrier features are proposed and valued, in the context of
a multi-factor, not necessarily Markovian, Gaussian HJM framework, and under the …

において, $\mathcal {F}(T) $-可測な確率変数 $ G (T) $ て表されるペイオフを支払う条件付き請求
権 (Contingent Claim.) の, 時刻 $ t (\in [0, T]) $ における適正価格 $ G (t) $ は …