Robust Libor Modelling and Pricing of Derivative Products

By John Schoenmakers. 2005

71 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9b915ceb7982822f0c45bdb424e4081aa5ec4cdb

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In Finance

1. Christian Bender
2. Denis Belomestny
3. John Schoenmakers
4. Jean Jacod
5. Yacine Aït-Sahalia
6. Joachim Lebovits
7. Jessica Steiner
8. Frederi G. Viens

Citations in the corpus

• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (2009, methodology): “By a standard lemma connected with Itô’s formula (e.g., lemma 1.1 in Schoenmakers 2005), it then follows that YTj = ETj−1 YTj + ∫ Tj Tj−1 ϑ (t, X,Nt) d ( N−1t Xt ) = ETj−1 YTj + ∫ Tj Tj−1 N−1t ϑ(t, Xt,Nt)(b(t, Xt) − XtσN (t, Xt)) dW t. (5.1) We note that the latter equation follows easily from…”