Efficient long-dated swaption volatility approximation in the forward-LIBOR model

DOI10.1142/S0219024918500206MaRDI QIDQ4571699zbMATH OpenOpenAlexFDO

Authors Jacques van Appel, Thomas Andrew McWalter

Publication date 29 June 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500206

zbMATH Keywords

efficient calibrationLIBOR modelswaptionvolatility approximation

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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• Moment approximations of displaced forward-LIBOR rates with application to swaptions
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Cites work

• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Continuous-time term structure models: Forward measure approach
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2107359 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• LIBOR and swap market models and measures
• On the distributional distance between the lognormal LIBOR and swap market models
• Remark on algorithm 659
• SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• Term-structure models. A graduate course
• The Market Model of Interest Rate Dynamics
• Towards a central interest rate model
• Volatility skews and extensions of the Libor market model

Cited in

(4)

• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Lognormal forward market model (LFM) volatility function approximation
• A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
• Moment approximations of displaced forward-LIBOR rates with application to swaptions

Describes a project that uses

Uses Software

• TOMS659
• sobol.cc

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