Calibration of the Libor market model using correlations implied by CMS spread options
DOI10.1080/13504860903541317zbMATH Open1201.91191OpenAlexW2063427353MaRDI QIDQ3063876FDOQ3063876
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- LIBOR and swap market models and measures
- The Market Model of Interest Rate Dynamics
- Interest rate models -- theory and practice
- Robust Libor Modelling and Pricing of Derivative Products
- Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
- The Numerical Evaluation of Certain Multivariate Normal Integrals
- On the distributional distance between the lognormal LIBOR and swap market models
Cited In (3)
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