The LIBOR model dynamics: Approximations, calibration and diagnostics

DOI10.1016/J.EJOR.2003.12.004zbMATH Open1067.90099OpenAlexW2088512714MaRDI QIDQ704056FDOQ704056

Authors: Damiano Brigo, Fabio Mercurio, Massimo Morini 

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.004

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zbMATH Keywords

LIBOR market modelStochastic processesFinanceInterest rate modelingPricing

Mathematics Subject Classification ID

Marketing, advertising (90B60) Stochastic models in economics (91B70)

Cites Work

• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Interest rate models -- theory and practice
• On the information in the interest rate term structure and option prices

Cited In (25)

• A new simulation approach to the LIBOR market model
• Calibration of the Libor market model using correlations implied by CMS spread options
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
• On the information in the interest rate term structure and option prices
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
• An efficient analytical calibration of volatilities for HJM model
• A tractable LIBOR model with default risk
• Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
• The affine LIBOR models
• A cyclical square-root model for the term structure of interest rates
• Classification of two- and three-factor time-homogeneous separable LMMs
• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
• Dependence structure between LIBOR rates by copula method
• Multicurve LIBOR market models and drift-free simulation
• Bermudan swaption pricing and calibration based on Libor market model
• Estimating Libor/swaps spot-volatilities: the EpiVolatility model
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• A Unified View of LIBOR Models
• An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
• Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
• A jump-diffusion Libor model and its robust calibration
• A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
• CORRELATION ANALYSIS IN THE LIBOR AND SWAP MARKET MODEL
• An almost Markovian LIBOR market model calibrated to caps and swaptions
• AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET

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