The LIBOR model dynamics: Approximations, calibration and diagnostics

DOI10.1016/J.EJOR.2003.12.004MaRDI QIDQ704056zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

LIBOR market modelStochastic processesFinanceInterest rate modelingPricing

Mathematics Subject Classification ID

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

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Cites work

• Interest rate models -- theory and practice
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• 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
• A tractable LIBOR model with default risk
• An efficient analytical calibration of volatilities for HJM model
• A cyclical square-root model for the term structure of interest rates
• Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
• The affine LIBOR models
• 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
• Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
• An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
• 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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