London Business School Professor of Finance joins academics from Harvard University, the University of California Berkeley, New York University, the University of Oxford, and Tsinghua University, as well as experienced financial services professionals […]
Options data and analytics provider moves to implied yield curve and replaces LIBOR with leading overnight rates in options implied volatility and Greek calculations for North America, Europe, Asia Pacific […]
Cboe Futures Exchange Expected to List AMERIBOR® Term-90 Futures Beginning From January 24, 2022 […]
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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 […]
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 […]
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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 […]
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