During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We empirically compare a wide range of term structure models used in the pricing and, in
particular, hedging of caps and swaptions. We analyze the influence of the number of factors …

We examine the pricing and hedging performance of interest rate option pricing models
using daily data on US dollar cap and floor prices across both strike rates and maturities …

This paper examines whether higher order multifactor models, with state variables linked
solely to underlying LIBOR‐swap rates, are by themselves capable of explaining and …

We empirically compare Libor and Swap Market Models for the pricing of interest rate
derivatives, using panel data on prices of US caplets and swaptions. A Libor Market Model …

This article examines how the number of stochastic drivers and their associated volatility
structures affect pricing accuracy and hedging performance in the swaption market. In spite …

Recent advances in asset pricing—the reduced-form approach to pricing risky debt and
derivatives—are used to quantitatively evaluate several proposals for mandatory bank issue …

ABSTRACT A reverse event study approach was used to investigate how the South African
sovereign bond yield curve reacts to headline news. The change in daily yields, calculated …

This article proposes a calibration algorithm that fits multifactor Gaussian models to the
implied volatilities of caps with the use of the respective minimal consistent family to infer the …

We propose a multifactor model in which the spot rate, LIBOR, follows a lognormal process,
with a stochastic conditional mean, under the risk-neutral measure. In addition to the spot …