Concepedia

Swaptions Modeling

Swaptions Modeling is a financial modeling framework, within the domain of interest rate derivatives, that specifically characterizes the valuation and hedging of options on interest rate swaps by incorporating stochastic dynamics of the term structure and market volatility behavior.

65

Publications

2.4K

Citations

90

Authors

81

Institutions

Publications per year

2017–2026

5

Parents

Publications

65

A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON

Alan Brace, Marek Musiela · Mathematical Finance · 1994 · 254 citations

, , +14

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun · Journal of Econometrics · 2003 · 150 citations

, , +12

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Leif B. G. Andersen · SSRN Electronic Journal · 1999 · 116 citations · Full text

, , +17

Linear‐Rational Term Structure Models

Damir Filipović, Martin Larsson, Anders B. Trolle · The Journal of Finance · 2016 · 112 citations · Full text

, , +17

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Joost Driessen, Pieter Klaassen, Bertrand Melenberg · Journal of Financial and Quantitative Analysis · 2003 · 103 citations

, , +17

1–5 of 65

Authors

90

  1. RR
    Riccardo Rebonato

    University of Oxford, United Kingdom

    6 publications · 140 citations

    6

    h-index

  2. AP
    Antoon Pelsser

    Maastricht University, Netherlands

    4 publications · 126 citations

    4

    h-index

  3. MH
    Marc Henrard

    University College London, United Kingdom

    3 publications · 64 citations

    3

    h-index

  4. LB
    Leif B. G. Andersen

    Bank of America, United States

    3 publications · 276 citations

    3

    h-index

  5. DS
    David Schrager

    University of Amsterdam, Netherlands

    2 publications · 101 citations

    2

    h-index

1–5 of 90

Institutions

81

  1. Swiss Finance Institute

    Zurich, Switzerland

    6 h-index

    8 publications

    358 citations

  2. École Polytechnique Fédérale de Lausanne

    Lausanne, Switzerland

    4 h-index

    5 publications

    326 citations

  3. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    7 publications

    314 citations

  4. ETH Zurich

    Zurich, Switzerland

    3 h-index

    3 publications

    109 citations

  5. Imperial College London

    London, United Kingdom

    3 h-index

    3 publications

    34 citations

  6. University of Minnesota

    Minneapolis, United States

    2 h-index

    2 publications

    82 citations

  7. Technische Universität Berlin

    Berlin, Germany

    2 h-index

    3 publications

    121 citations

  8. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    2 h-index

    2 publications

    72 citations

1–8 of 81

Venues

  1. SSRN Electronic Journal

    Repository · 20 publications · 569 citations

    13

    h-index

  2. The Journal of Computational Finance

    6 publications · 274 citations

    6

    h-index

  3. Mathematical Finance

    5 publications · 423 citations

    5

    h-index

  4. International Journal of Theoretical and Applied Finance

    IJTAF · 5 publications · 70 citations

    5

    h-index

  5. Applied Mathematical Finance

    3 publications · 69 citations

    3

    h-index

1–5