Calibration of Multicurrency LIBOR Market Models

This paper presents a methodf or calibrating a multi currency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is decomposed into manageable stages, while maintaining the ability to achieve realistic correlation structures between all modelled market variables.

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Year of publication:	2010-12-01
Authors:	Pilz, Kay ; Schlogl, Erik
Institutions:	Finance Discipline Group, Business School
Subject:	currency options \| LIBOR market model \| exchange rate risk \| interest rate risk

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 286 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008852589