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

DOI10.1080/14697680500305162MaRDI QIDQ3375384zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

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

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