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libOR { library of OR data sets
"... In this paper, we propose libOR, a new libray of OR data sets, that greatly extends the functionality of existing platforms. libOR is decentralised, i.e. all users can add problem de¯nitions and data sets (problem instances). Data sets in libOR are in XML format and can be validated online. Moreover ..."
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In this paper, we propose libOR, a new libray of OR data sets, that greatly extends the functionality of existing platforms. libOR is decentralised, i.e. all users can add problem de¯nitions and data sets (problem instances). Data sets in libOR are in XML format and can be validated online
Numerical solution of jump-diffusion LIBOR market models
- Finance and Stochastics
"... This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in particular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves. While this for ..."
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Cited by 24 (3 self)
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This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in particular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves. While
Stimulating Collaborative Development in Operations Research with libOR
"... Abstract – In this paper we describe the development of libOR, an on-line library for the operations research (OR) community. The design and operation of this website is inspired by the Open Source movement and recent developments such as Wikipedia. In operations research, data sets are exchanged ..."
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Abstract – In this paper we describe the development of libOR, an on-line library for the operations research (OR) community. The design and operation of this website is inspired by the Open Source movement and recent developments such as Wikipedia. In operations research, data sets are exchanged
Pathology of a Heart Attack: The LIBOR Market
, 2008
"... Understanding developments in interbank lending markets is the key to this nancial crisis. The rates at which banks perceive they can borrow on an unsecured basis at term from other banks should be broadly equivalent to overnight interest rate swaps over the same term. But risk premia in term LIBOR ..."
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Understanding developments in interbank lending markets is the key to this nancial crisis. The rates at which banks perceive they can borrow on an unsecured basis at term from other banks should be broadly equivalent to overnight interest rate swaps over the same term. But risk premia in term LIBOR
Does the LIBOR reflect banks ’ borrowing costs?
, 2010
"... The London Interbank Offered Rate (Libor) is a vital benchmark interest rate to which hundreds of trillions of dollars of financial contracts are tied. Recently observers have raised concerns that the Libor may not accurately reflect average bank borrowing costs, it’s ostensible target. In this pape ..."
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bunching behavior in the data. Finally, we present suggestive evidence that several banks have large portfolio exposures to the Libor and have recently profited from the rapid descent of the Libor. We conjecture that these exposures may be the source of misreporting incentives.
Arbitrage-free discretization of lognormal forward Libor and swap rate models
"... . An important recent development in the pricing of interest rate derivatives is the emergence of models that incorporate lognormal volatilities for forward Libor or forward swap rates while keeping interest rates stable. These market models have three attractive features: they preclude arbitrage am ..."
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Cited by 20 (2 self)
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. An important recent development in the pricing of interest rate derivatives is the emergence of models that incorporate lognormal volatilities for forward Libor or forward swap rates while keeping interest rates stable. These market models have three attractive features: they preclude arbitrage
A comparison of Libor to other measures of bank borrowing costs
, 2012
"... Libor is a survey-based measure of bank borrowing costs that plays a central role in fixed-income markets. There is an active discussion about how well Libor summarized funding conditions during the recent financial crisis. In this paper we match and compare bank Libor survey responses to two novel ..."
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Cited by 8 (2 self)
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measures of borrowing rates: 1) bank bids at the Federal Reserve Term Auction Facility and 2) inferences of term borrowing from Fedwire payments data. We find that Libor survey responses broadly track these alternative measures between 2007-09, although Libor lies below them at certain times, particularly
F.: Interest rate caps smile too! But can the Libor market models capture it
- J. Financ., http://www.afajof.org/afa/forthcoming/2495.pdf
"... Using 3 years of interest rate caps price data, we provide a comprehensive documenta-tion of volatility smiles in the caps market. To capture the volatility smiles, we develop a multifactor term structure model with stochastic volatility and jumps that yields a closed-form formula for cap prices. We ..."
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Cited by 14 (2 self)
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Using 3 years of interest rate caps price data, we provide a comprehensive documenta-tion of volatility smiles in the caps market. To capture the volatility smiles, we develop a multifactor term structure model with stochastic volatility and jumps that yields a closed-form formula for cap prices
On pricing of interest rate derivatives
, 2004
"... At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible mar ..."
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At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible
c ○ Springer-Verlag 2003 Numerical solution of jump-diffusion LIBOR market models
"... Abstract. This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in particular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves. Whil ..."
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Abstract. This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in particular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves
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