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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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4 results for “post-Libor”

SABR smiles for RFR capletsq-fin.PR

Extends SABR model for pricing RFR caplets.

problem Pricing backward RFR caplets in a post-Libor market.

method Closed-form effective SABR parameters for backward RFR caplets.

result Closed-form solution for backward RFR caplets.

SABR model RFR caplets post-Libor smile interpolation

2020-04-09abs ↗pdf ↗

Rough SABR Forward Market Modelq-fin.MF

Enhances swaption modeling with rough stochastic volatility.

problem Modeling swaption volatility in post-LIBOR markets.

method Introduces rough stochastic volatility into FMM and rigorously justifies the freezing approximation.

result Establishes a new framework connecting FMM to rough Bergomi for forward swap rates.

swaption modeling stochastic volatility rough Bergomi FMM freezing approximation

2025-09-30abs ↗pdf ↗

Pricing and hedging of SOFR derivativesq-fin.MF

Examines SOFR derivatives pricing and hedging post-LIBOR discontinuation.

problem Pricing and hedging of SOFR derivatives post-LIBOR discontinuation.

method One-factor model based on Vasicek's equation for overnight interest rates dynamics.

result Arbitrage-free pricing and hedging of SOFR derivatives instruments.

SOFR derivatives LIBOR discontinuation Vasicek model floating rates interest rate swaps

2021-12-28abs ↗pdf ↗

SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smileq-fin.MF

This paper improves SABR/LMM for better practical use in global banks.

problem Inflexibility of existing SABR/LMM models.

method Develops a comprehensive SABR/LMM model with time-dependent skew and smile.

result Provides a flexible and practical SABR/LMM model for global banks.

SABR/LMM Volatility Skew Interest Rate Derivatives Libor Market Model Forward Market Model

2026-03-08abs ↗pdf ↗