An almost Markovian LIBOR market model calibrated to caps and swaptions

DOI10.1080/14697688.2013.779012zbMath1402.91828OpenAlexW2049550854MaRDI QIDQ5247275

Junwu Gan

Publication date: 23 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.779012

zbMATH Keywords

term structuremulti-factor modelsinterest rate derivativescorrelation structuresvolatility modellingcorrelation modellinglocal volatility theory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
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