The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …

This paper considers the pricing of Bermuda-style swaptions in the Libor market model
(Brace et al (1997), Jamshidian (1997), Miltersen et al (1997)) and its extensions (Andersen …

The theory of pricing and hedging of derivative securities is mathematically sophisticated.
This book is an introduction to the use of advanced probability theory in financial economics …

Abstract Generalizing Cox, Ingersoll, and Ross (1979), this paper defines the stochastic
duration of a bond in a general multi-factor diffusion model as the time to maturity of the zero …

We examine the pricing and hedging performance of interest rate option pricing models
using daily data on US dollar cap and floor prices across both strike rates and maturities …

This book is the definitive and most comprehensive guide to modeling derivatives in C++
today. Providing readers with not only the theory and math behind the models, as well as the …

We propose a dynamic programming (DP) approach for pricing options embedded in bonds,
the focus being on call and put options with advance notice. An efficient procedure is …

This paper investigates the effect of interest rate correlation in pricing and exercise of
Bermudan swaptions. Investigating both Gaussian Markov models and Libor market models …

This paper investigates the counterparty credit risk of interest rate swaps positions using the
credit valuation adjustment (CVA) measure, and examines the potential dependence …

We develop a closed form formula for the value of a fixed-rate residential mortgage that
includes the provision that the borrower can prepay at any time with no penalty. The value of …