Calibration of the Libor market model using correlations implied by CMS spread options

DOI10.1080/13504860903541317MaRDI QIDQ3063876zbMATH OpenOpenAlexFDO

Authors Reik H. Börger, Jan van Heys

Publication date 15 December 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860903541317

zbMATH Keywords

correlationcalibrationLMMCMS spread optionmarket analysis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• The LIBOR model dynamics: Approximations, calibration and diagnostics
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET
• Multiple stochastic volatility extension of the Libor market model and its implementation

Cites work

• Interest rate models -- theory and practice
• LIBOR and swap market models and measures
• On the distributional distance between the lognormal LIBOR and swap market models
• Robust Libor Modelling and Pricing of Derivative Products
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• The Market Model of Interest Rate Dynamics
• The Numerical Evaluation of Certain Multivariate Normal Integrals

Cited in

(3)

• Pricing CMS spread options in a Libor market model
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities

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