کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475817 | 929407 | 2014 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We propose a novel time-changed Lévy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spanning the financial crisis of 2007-2010. We find that, even during this period, neither market is as fragmented as suggested by the previous literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 111, Issue 1, January 2014, Pages 224-250
Journal: Journal of Financial Economics - Volume 111, Issue 1, January 2014, Pages 224-250
نویسندگان
Markus Leippold, Jacob Strømberg,