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q-fin.PR2015
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the sho…
q-fin.PR2015
Approximate Option Pricing in the Lévy Libor Model
Zorana Grbac, David Krief, Peter Tankov
In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the Lévy Libor model developed by Eberlein and Özkan (2005). This model is an ex…