Wilmott Inner Circle
A Conversation With Dariusz Gatarek
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LIBOR
News
Gatarek: Life, Libor (and Swap Rates Too!)
Dariusz Gatarek, co-author of the Libor Market Model with Alan Brace and Marek Musiela, has been busy of late – despite worrying that the vagaries of age might be catching up with him. He is […]
Articles
The LIBOR Fix
Depending on context, the word “fix” can mean “set” or “determine,” “manipulate” or “rig,” as well as “repair” or “correct.” “In a fix” means to be in difficulty. In colloquial use, a “fix” is a […]
Wilmott Inner Circle
The Valuation of Callable Bonds with Floored CMS-spread Coupons
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Articles
An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]
Wilmott Inner Circle
The Irony In The Derivatives Discounting
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Wilmott Inner Circle
Least Squares Importance Sampling for Libor Market Models: Wilmott Magazine Article – Luca Capriotti
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