Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the Libor Market Model

By John C. Hull, A. White. 2000

145 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bc26455c81f0771f86f7118ad702726dd25c3a57

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Citations in the corpus

• On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (2010, unknown): “A description of such FX hybrid products can be found in the handbook by Hunter (Hunter and Picot 2005). A first attempt to model the FX by SV and interest rates driven by a market model was proposed in Takahashi and Takehara (2008), assuming independence between log-normal-Libor rates and FX.”
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006, methodology): “Our approximation method is partly based on Brace et al. (2001) and Hull and White (2000).”
• Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance (2004, methodology): “These swaption volatilities where calculated using the method described by Hull and White (2000) in their paper.”