Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model
نویسندگان
چکیده
منابع مشابه
On the joint calibration of the Libor market model to caps and swaptions market volatilities
In this paper we consider several parametric assumptions for the instantaneous covariance structure of the Libor market model. We examine the impact of each different parameterization on the evolution of the term structure of volatilities in time, on terminal correlations and on the joint calibration to the caps and swaptions markets. We present a number of cases of calibration in the Euro mark...
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متن کاملModels of Forward LIBOR and Swap Rates
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward LIBOR rates examined in Miltersen et al. (1997) and Brace et al. (1997), as well as the lognormal model of ((xed-maturity) forward swap rates proposed by Jamshidian (1996, 1997). The valuation formulae for European caps and swaptions are given. I...
متن کاملLibor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
In this paper we empirically analyze and compare the Libor and Swap Market Models, developed by Brace, Gatarek, and Musiela (1997) and Jamshidian (1997), using paneldata on prices of US caplets and swaptions. A Libor Market Model can directly be calibrated to observed prices of caplets, whereas a Swap Market Model is calibrated to a certain set of swaption prices. For both one-factor and two-fa...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 2000
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.2000.319268