170 citations · 345 across the 27 of their papers we have counts for
5 papers · 1 filter
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wien…
Old and new approaches to LIBOR modeling
Antonis Papapantoleon
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, f…
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
Antonis Papapantoleon, Maria Siopacha
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by Lévy processes or general semimartingales. The main ingredien…
The affine LIBOR models
Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates ar…
On the valuation of compositions in Lévy term structure models
Wolfgang Kluge, Antonis Papapantoleon
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier t…