Interest Rate Models

By Damiano Brigo, Fabio Mercurio. 2001

1,258 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b49edf66f5b6f38cc95a62fa1ce1ef4cdf32bce7

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Citations in the corpus

Counterparty Risk and Funding: A Tale of Two Puzzles (2014, positive): “Since P fra(t;T, T + δ,K,N)/Bt(T + δ) and Lt(T, T + δ) are martingales under the forward measure QT+δ (see e.g Brigo and Mercurio (2006)), the value at time t ∈ [0, T ] of the payer FRA is given by P fra(t;T, T + δ,K,N) = NBt(T + δ)ET+δ [ (LT (T, T + δ)−K) ∣∣∣Ft] = N(Bt(T )− K̄Bt(T + δ)),…”
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009, neutral): “see Lucić (2003), Hong (2004), Kruse and Nögel (2005) and Brigo and Mercurio (2006)).”
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects (2004, background): “For a skew, following Brigo and Mercurio (2001a), a displaced diffusion mo del could be assumed.”
Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions (2005, background): “Babbel and Merrill (1996), Duffie (1996), Hull (2000), and Brigo and Mercurio (2001) are among the sources that provide comprehensive coverage on this subject.”
Pricing of Ratchet Equity-Indexed Annuities under Stochastic Interest Rates ? (2007, background): “(9) For more details on bond pricing under the extended Vasicek model, e.g., see Brigo and Mercurio (2001).”
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS (2004, methodology): “This is done by using a change of numeraire technique with the bond prices of [3] Theorem 4.”
Putting a Price on Temperature * (2007, methodology): “This is the approach discussed in Brigo & Mercurio (2001) for interest rate theory and which we choose in this paper.”
A comparison of biased simulation schemes for stochastic volatility models (2010, result): “the calibration results in Brigo and Mercurio ( 2001 , p.”
Analytical and Numerical Methods for Pricing Financial Derivatives (2011, methodology): “We refer the reader for detailed survey of qualitative and quantitative properties of various short rate models to the books of Brigo and Mercurio [20] and Kwok [75].”