125 citations · 144 across the 9 of their papers we have counts for
Showing 2003 · cs.CEShow all
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cs.CE2003
Risk-Management Methods for the Libor Market Model Using Semidefinite Programming
Alexandre d'Aspremont
When interest rate dynamics are described by the Libor Market Model as in BGM97, we show how some essential risk-management results can be obtained from the dual of the calibration…
cs.CE2003★ 1 cited
Interest Rate Model Calibration Using Semidefinite Programming
Alexandre d'Aspremont
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can t…