Capturing the Skew in Interest Rate Derivatives: A Shifted Lognormal LIBOR Model with Uncertain Parameters
نویسندگان
چکیده
The surge of trading volume in caps and swaptions urged the need for a theoretical justification for the related market formulas, which were derived by using the Black (1976) model in a seemingly unsound manner. A consistent theoretical framework for such formulas was provided in a number of papers in the mid 90’s: Brace, Gatarek and Musiela (1997), Miltersen, Sandmann and Sondermann (1997) and Jamshidian (1997), who have independently proposed what is generally known as Libor Market Model (LMM).
منابع مشابه
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