Interest rate model calibration using semidefinite Programming

DOI10.1080/1350486032000141002zbMath1180.91284arXivcs/0302034OpenAlexW3122241113MaRDI QIDQ4811558

Alexandre d'Aspremont

Publication date: 6 September 2004

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

Full work available at URL: https://arxiv.org/abs/cs/0302034

zbMATH Keywords

semidefinite programmingcalibrationbasket optionsLibor market model

Mathematics Subject Classification ID

Semidefinite programming (90C22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ On swap rate dynamics: to freeze or not to freeze? ⋮ Implied Volatility of Basket Options at Extreme Strikes ⋮ Static arbitrage bounds on basket option prices

Uses Software

• SeDuMi

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