کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9663895 | 1446248 | 2005 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The LIBOR model dynamics: Approximations, calibration and diagnostics
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The LIBOR model dynamics: Approximations, calibration and diagnostics The LIBOR model dynamics: Approximations, calibration and diagnostics](/preview/png/9663895.png)
چکیده انگلیسی
In this paper we consider several parametric assumptions for the instantaneous covariance structure of the LIBOR market model, whose role in the modern interest-rate derivatives theory is becoming more and more central. 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 market. In particular, we consider calibration via a parameterization establishing a controllable one to one correspondence between instantaneous covariance parameters and swaptions volatilities, and assess the benefits of smoothing the input swaption matrix before calibrating.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 163, Issue 1, 16 May 2005, Pages 30-51
Journal: European Journal of Operational Research - Volume 163, Issue 1, 16 May 2005, Pages 30-51
نویسندگان
Damiano Brigo, Fabio Mercurio, Massimo Morini,