Analytical pricing of the smile in a forward LIBOR market model

DOI10.1080/713666156MaRDI QIDQ4647237zbMATH OpenOpenAlexFDO

Authors Damiano Brigo, Fabio Mercurio

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/713666156

zbMATH Keywords

analytical pricingimplied-volatility curvesLIBOR market model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
• The affine LIBOR models
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Cited in

(8)

• Affine LIBOR models driven by real-valued affine processes
• Lognormal forward market model (LFM) volatility function approximation
• A flexible matrix Libor model with smiles
• MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
• TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
• Volatility skews and extensions of the Libor market model
• The Term Structure of Simple Forward Rates with Jump Risk
• Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model

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