Les modèles HJM et LMM revisités

François-Éric Racicot () and Raymond Théoret ()
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Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal)

No UQO-DSA-wp042006, RePAd Working Paper Series from Département des sciences administratives, UQO

Abstract: In this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an exhaustive elaboration of the developments of these models. Finally, we discuss the evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more advanced versions like the SV Cheyette model.

Keywords: derivatives; financial engineering; asset valuation; computational finance. (search for similar items in EconPapers)
JEL-codes: G12 G13 G33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cmp, nep-fin and nep-fmk
Date: 2006-01-03

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Persistent link: http://EconPapers.repec.org/RePEc:pqs:wpaper:042006

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