4 citations · 4 across the 4 of their papers we have counts for
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Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
Antonis Papapantoleon, John Schoenmakers, David Skovmand
The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the…
Picard approximation of stochastic differential equations and application to LIBOR models
Antonis Papapantoleon, David Skovmand
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to sol…
Numerical methods for the Lévy LIBOR model
Antonis Papapantoleon, David Skovmand
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the Lévy LIBOR model of Eberlein and Özkan (2005). Standard…