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LIBOR Rate Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Scholarly Communication
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
libor rate model
,
LIBOR Market Model
Search term matches:
Tag
... libor
market
model
...
The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
defaultable interest rate swap
,
bilateral defaultable claim
,
credit asymmetry
,
market models
Search term matches:
Tag
...
market
models
...
Full Text
... , bilateral defaultable claim, credit asymmetry,
market
models
, Black model, LIBOR
market
model
, reduced ...
Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
bilateral defaultable derivatives
,
credit asymmetry
,
market models
,
Black model
,
LIBOR Market Model
Search term matches:
Tag
...
market
models
...
Full Text
... by both counterparties. The default-free interest rates are modeled by the
Market
Models
, while the default time ...
An Efficient Lattice Algorithm For The LIBOR Market Model
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Values--Philosophy
,
Economics
Item Type:
Article
Tag(s):
LIBOR Market Model
,
lattice model
,
asset pricing
,
derivatives valuation
,
risk management
,
Value theory
Search term matches:
Title
... An Efficient Lattice Algorithm For The LIBOR
Market
Model
...
Tag
... libor
market
model
...
Full Text
... AN EFFICIENT LATTICE ALGORITHM FOR THE LIBOR
MARKET
MODEL
Tim Xiao1 ABSTRACT ...
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