The term Financial Derivative is a very broad term which has come to mean any financial
transaction whose value depends on the underlying value of the asset concerned …

We compare single factor Markov-functional and multi factor market models and the impact
of their correlation structures on the hedging performance of Bermudan swaptions. We show …

We consider an interest rate model with log-normally distributed rates in the terminal
measure in discrete time. Such models are used in financial practice as parametric versions …

This paper demonstrates how the adjoint PDE method can be used to compute Greeks in
Markov-functional models. This is an accurate and efficient way to compute Greeks, where …

This paper develops an n-dimensional Markov-functional interest rate model, ie a model
driven by an n-dimensional state process and constructed using Markov-functional …

Constant maturity swaps (CMS) and CMS spread options are analysed in the multi-factor
HJM framework. For Gaussian models, which include a version of the Libor Market Models …

Markov‐functional models can fit the observed prices of liquid instruments in a similar
fashion to market models, but also have the advantage that they can be implemented as …

The class of Markov-functional models provide a framework that can be used to define
interest-rate models of finite dimension calibrated to any arbitrage-free formula for caplet or …

The class of Markov-functional models (MFMs) provides a framework that can be used to
define interest-rate models of finite dimension calibrated to any arbitrage-free formula for …

The flexibility of parametrizations of the LIBOR market model (LMM) comes at a cost, namely
the LMM is high-dimensional, which makes it cumbersome to use when pricing derivatives …