Libor Market Model
2012
Jan 2012 Risk-neutral Valuation and Stochastic Interest Rates
2011
Dec 2011 LMMPlus Model Definition
2010
Oct 2010 LMMPlus: Dynamics and Numerical Implementation
Oct 2010 Kolmogorov and Feynman-Kac Equations
Oct 2010 Stochastic Volatility and Riccati Equation
Jan 2010 Displaced Diffusion Libor Market Model
2009
Dec 2009 Displaced Diffusion LMM - Addressing Lognormal Blowup
Dec 2009 End December 2009 Market Consistent Correlation Calibration
Jul 2009 LMM Enhancements Webcast - July 09
May 2009 Libor Market Model: Market Consistent Calibration Methodology
Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - USD End December 2008
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - EUR End December 2008
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation results - GBP End December 2008
2008
Sep 2008 Fitting the Yield Curve: Cubic spline interpolation and smooth extrapolation
Jul 2008 Performance of Asset Martingale Tests: Bond Portfolios and Equity Indices
2007
Sep 2007 Divergence of the Cash Account within a Lognormal Interest Rate Model
2006
Nov 2006 Extrapolation of Interest Rates in Semi-Annual and Monthly LMM
Nov 2006 The Libor Market Model at Finer Time Steps: A Summary
Nov 2006 Ensuring Finite Seconds Moments in SDE Solutions With Reference to the Libor Market Model
Oct 2006 Arbitrage-free Dynamics in the LMM
Jan 2006 Do Stochastic Interest Rates affect the Quality of the Equity Implied Volatility Fit in the ESG?
2005
Mar 2005 LIBOR Market Model: Best-Estimate Calibration