77 citations · 193 across the 13 of their papers we have counts for
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PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
J. G. López-Salas, S. Pérez-Rodríguez, C. Vázquez
In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyas…
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal, S. De Marco, E. Gobet +3
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide ex…
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
A. M. Ferreiro, J. A. García, J. G. López-Salas +1
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, sev…