LIBOR Floors in Leveraged Loans

A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates

The main result of this paper is that a martingale evolution can be chosen for LIBOR such that, by appropriately fixing the drift, all LIBOR interest rates have a common market measure. LIBOR is described using a quantum field theory model, and a common measure is seen to emerge naturally for such models. To elaborate how the martingale for the LIBOR belongs to the general class of numeraires f...

Leveraged Buyouts in Poland

The Leveraged

We present a scheme that leverage orthonormal or biorthogonal wavelets to a new system of biorthogonal wavelets. The leveraged biorthogonal wavelets will have some nice properties. If we start with orthonormal wavelets, the leveraged scaling functions and wavelets are compactly supported and are diierentiable. The derivatives of the leveraged wavelets are orthogonal to their translations; the d...

Libor Běhounek:

Microarrays present new powerful technique for high-throughput, global transcriptomic profiling of gene expression. It permits to investigate the expression levels of thousands of genes simultaneously. The global snapshots of gene expression, both among different cell types and among different states of a particular cell type can help in identifying candidate genes that may be involved in a var...

Coupling local currency Libor models to FX Libor models

We focus on the coupling of two existing and calibrated single currency Libor models into a joint Libor model that allows for pricing of multiple currency based structured interest rate products. Our main contribution is twofold: On the one hand we provide a method for synthesizing two local currency based correlation structures into a correctly defined joint correlation structure that describe...