On the distributional distance between the lognormal LIBOR and swap market models

DOI10.1080/14697680500305162zbMATH Open1134.91399OpenAlexW2016537353MaRDI QIDQ3375384FDOQ3375384

Authors: Damiano Brigo, Jan Liinev 

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500305162

Recommendations

• Towards a central interest rate model
• LIBOR and swap market models and measures
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Models of forward Libor and swap rates
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Approximate nonlinear filtering by projection on exponential manifolds of densities
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• On some filtering problems arising in mathematical finance

Cited In (7)

• Calibration of the Libor market model using correlations implied by CMS spread options
• Bounds for the price of discrete arithmetic Asian options
• A two-factor model for the electricity forward market
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• On swap rate dynamics: to freeze or not to freeze?
• Efficient long-dated swaption volatility approximation in the forward-LIBOR model
• Moment approximations of displaced forward-LIBOR rates with application to swaptions

This page was built for publication: On the distributional distance between the lognormal LIBOR and swap market models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3375384)