Documents A Practitioners Guide to Pricing Callable Libor Exotics

A PRACTITIONER’S GUIDE TO PRICING AND HEDGING CALLABLE LIBOR EXOTICS IN FORWARD LIBOR MODELS VLADIMIR V. PITERBARG Abstract. Callable Libor exotics is a class of single-currency…

Documents Evaluating and Hedging Exotic Swap Instruments via LGM

EVALUATING AND HEDGING EXOTIC SWAP INSTRUMENTS VIA LGM PATRICK S. HAGAN Abstract. Here we use the one factor LGM model to price the standard IR exotic deals: callable swaps…